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5
votes
2answers
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Simulation of GBM
I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem:
Given a GBM of the form
$dS(t) = \mu S(t) dt + ...
5
votes
2answers
353 views
What is the average stock price under the Bachelier model?
Let's say stock price follows following process:
$$dS(t) = \sigma dW(t)$$
where $W(t)$ is Standard Brownian motion. The initial level for the stock is $S(0)$. Define the average of stock price ...
4
votes
1answer
1k views
How to simulate stock prices with a Geometric Brownian Motion?
I want to simulate stock price paths with different stochastic processes. I started with the famous geometric brownian motion. I simulated the values with the following formula:
...
