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searching for Geometric Brownian motion 8 found (54 total)

alternate case: geometric Brownian motion

Trinomial tree (837 words) [view diff] exact match in snippet view article find links to article

model Implied trinomial tree Mark Rubinstein Trinomial Tree, geometric Brownian motion Archived 2011-07-21 at the Wayback Machine John Hull presents

Physics of financial markets (313 words) [view diff] case mismatch in snippet view article find links to article

Peters, O.; Klein, W. (2013-03-08). "Ergodicity Breaking in Geometric Brownian Motion". Physical Review Letters. 110 (10): 100603. arXiv:1209.4517.

Stochastic logarithm (960 words) [view diff] exact match in snippet view article find links to article

\qquad t\geq 0.} In particular, if Y{\displaystyle Y} is a geometric Brownian motion, then X{\displaystyle X} is a Brownian motion with a constant

Feynman–Kac formula (2,661 words) [view diff] exact match in snippet view article find links to article

example, consider a stock price St{\displaystyle S_{t}} undergoing geometric Brownian motion dSt=(rtdt+σtdWt)St{\displaystyle dS_{t}=(r_{t}dt+\sigma _{t}dW_{t})S_{t}}

Optimal stopping (2,413 words) [view diff] exact match in snippet view article find links to article

volatility of the stock. The stock price S{\displaystyle S} follows geometric Brownian motion St=S0exp⁡{(r−δ−σ22)t+σBt}{\displaystyle S_{t}=S_{0}\exp \left\{\left(r-\delta

Log-normal distribution (8,970 words) [view diff] exact match in snippet view article find links to article

calculus, this is the same correction term as in Itō's lemma for geometric Brownian motion. For any real or complex number n, the n-th moment of a log-normally

Financial correlation (4,130 words) [view diff] exact match in snippet view article find links to article

equation (1), the underlying S{\displaystyle S} follows the standard geometric Brownian motion, which is also applied in Black–Scholes–Merton model, which however

List of examples of Stigler's law (4,911 words) [view diff] exact match in snippet view article find links to article

rediscovered it in 1960. The Black–Scholes model postulating a geometric Brownian motion as a model for stock market returns, credited to the 1973 academic