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OverviewPlease note that the content of this book primarily consists of articles available from Wikipedia or other free sources online. High Quality Content by WIKIPEDIA articles! A geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion, also called a Wiener process. It is applicable to mathematical modelling of some phenomena in financial markets. It is used particularly in the field of option pricing because a quantity that follows a GBM may take any positive value, and only the fractional changes of the random variate are significant. This is a reasonable approximation of stock price dynamics except for rare events. Full Product DetailsAuthor: Frederic P. Miller , Agnes F. Vandome , John McBrewsterPublisher: Betascript Publishing Imprint: Betascript Publishing Dimensions: Width: 15.20cm , Height: 0.40cm , Length: 22.90cm Weight: 0.125kg ISBN: 9786133703643ISBN 10: 6133703644 Pages: 76 Publication Date: 06 October 2010 Audience: General/trade , General Format: Paperback Publisher's Status: Active Availability: In Print  This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us. Table of ContentsReviewsAuthor InformationTab Content 6Author Website:Countries AvailableAll regions |
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