Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.
Sign up to join this community
Simple question of a curious person:
One can say that prices tend to rise "slowly" and drop "all of a sudden". Still, they are a geometric composition upon random returns.
As I understand, this is not a feature of a geometric brownian motion.
If so, what would be a standard price process consistent with this behavior?
Best!
The natural extension of Brownian motion that includes jump are called Levy processes
https://en.wikipedia.org/wiki/L%C3%A9vy_process
probably you want to look into those.
