Geometric Brownian motion Model - Asset Pricing | Matthew Clemens | Observable
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Author
Matthew Clemens
@enjoylife
Try, fail, learn, improve. Then repeat.
Comments (2)
James King
Mar 24, 2023
Shouldn't the GBM function be: S[i] = S[i - 1] * Math.exp((mu - (sigma ** 2) / 2) * dt + sigma * dW[i - 1])
Matthew Clemens
Sep 18, 2024
I had as `0.5 * ..` which is equivalent. I updated it to visually match what most folks would see read in wiki's, etc.
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Geometric Brownian motion Model - Asset Pricing | Matthew Clemens | Observable