Simulate trajectories of CEV process

I am trying to create a MATLAB code that simulates trajectories of a constant elasticity of variance process (CEV).

My code is below.

M = 5000; % number of trajectories of CEV process
N = 250;  % number of steps in one trajectory
X0 = 100; % initial point
T = 1;    % final time in years in trajectory
a = 0.7;  % constant
dt = T/N; % time step

X(1:M,1) = X0;      
for j = 1:M         
    for i = 2:N+1   
        X(j,i) = 0.02*X(j,i-1)*dt + 0.15*X(j,i-1)^a*sqrt(dt)*randn;    
    end
end

t = 0:dt:T;
plot(t,X(:,:));

However, when I run the code the following warning message appears,

Warning: Imaginary parts of complex X and/or Y arguments ignored In ConstantElasticyVariance (line 19)

and weird straight lines are shown in the plot.

What am I doing wrong?

Answer 1

[Chaitral Date]

Use the below function to see the graph more clearly.

set(gca,'xscale','log');

I hope this helps.