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searching for Geometric Brownian motion 5 found (45 total)

alternate case: geometric Brownian motion

Trinomial tree (885 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 (386 words) [view diff] case mismatch in snippet view article find links to article
com/abstract=2812353 Peters, O.; Klein, W. (2013-03-08). "Ergodicity Breaking in Geometric Brownian Motion". Physical Review Letters. 110 (10): 100603. arXiv:1209.4517.
Optimal stopping (2,539 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 S t = S 0 exp ⁡ { ( r − δ − σ 2 2 ) t + σ B t } {\displaystyle
Log-normal distribution (8,250 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 (4,196 words) [view diff] exact match in snippet view article find links to article
(1), the underlying S {\displaystyle S} follows the standard geometric Brownian motion, which is also applied in Black–Scholes–Merton model, which however