Search results with tag "1 geometric brownian motion"

1 Geometric Brownian motion - Columbia University

parameters should be in order for this BLM to nicely approximate geometric BM over a given time interval (0,t]. From (3) we can quickly see that for any fixed t we can re-write S(t) as a similar i.i.d. prod-

  University, Columbia university, Columbia, Motion, Geometric, Brownian, 1 geometric brownian motion