We consider the stochastic volatility model $dS_t = sigma_t S_t dW_t,dsigma_t = omega sigma_t dZ_t$, with $(W_t,Z_t)$ uncorrelated standard Brownian motions. This is a special case of the Hull-White and the $beta=1$ (log-normal) SABR model, which are widely used in financial practice. We study the properties of this model, discretized in time under several applications of the Euler-Maruyama scheme, and point out that the resulting model has certain properties which are different from those of the continuous time model. We study the asymptotics of the time-discretized model in the $nto infty$ limit of a very large number of time steps of size $tau$, at fixed $beta=frac12omega^2tau n^2$ and $rho=sigma_0^2tau$, and derive three results: i) almost sure limits, ii) fluctuation results, and iii) explicit expressions for growth rates (Lyapunov exponents) of the positive integer moments of $S_t$. Under the Euler-Maruyama discretization for $(S_t,log sigma_t)$, the Lyapunov exponents have a phase transition, which appears in numerical simulations of the model as a numerical explosion of the asset price moments. We derive criteria for the appearance of these explosions.
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