Geometric Brownian Motion
A geometric Brownian motion (GBM) (also known as 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) with drift. It is an important example of stochastic processes satisfying a stochastic differential equation (SDE); in particular, it is used in mathematical finance to model stock prices in the Black–Scholes model.
Read more about Geometric Brownian Motion: Technical Definition: The SDE, Solving The SDE, Properties of GBM, Multivariate Geometric Brownian Motion, Use of GBM in Finance, Extensions of GBM
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