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Results tagged with geometric-brownian
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user 35546
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Simulation of Geometric Brownian Motion
Just to explain the formulae for the mean and variance! We can start with the solution of the GBM SDE:
$S_t=S_0\,e^{\left(\mu-\frac{1}{2}\sigma^2\right)t+\sigma W_t}$
then,
$\frac{1}{S_t}=\frac{1}{S_0 …
- 6,242
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vote
What is the stock price expectation?
Let's focus on the technical note, but let's change the symbols for easy comparison. The note has two parts:
Firstly, if we assume that the stock price is log normal with the following parameters:
$ …
- 6,242