geometric Brownian motion

GPTKB entity

Statements (27)
Predicate Object
gptkbp:instanceOf gptkb:stochastic_process
gptkbp:application asset price modeling
stock price modeling
gptkbp:assumes independent increments
constant volatility
no jumps
constant drift
gptkbp:category gptkb:logic
gptkb:probability_theory
gptkbp:governingEquation dS = μSdt + σS dW
gptkbp:hasProperty gptkb:log-normal_distribution
gptkb:Itô_process
Markov chain
continuous-time
https://www.w3.org/2000/01/rdf-schema#label geometric Brownian motion
gptkbp:introducedIn gptkb:Paul_Samuelson
gptkb:Louis_Bachelier
gptkbp:namedAfter Brownian motion
gptkbp:parameter Wiener process (W)
drift (μ)
volatility (σ)
gptkbp:solutionForm S(t) = S(0) exp((μ - 0.5σ^2)t + σW(t))
gptkbp:usedIn gptkb:Black-Scholes_model
mathematical finance
option pricing
gptkbp:bfsParent gptkb:Black-Scholes-Merton_model
gptkbp:bfsLayer 7