Definition 4.4 Quantitative Methods · Bab 4 — Stochastic Differential Equations A geometric Brownian motion solves dS=μS dt+σS dWdS = \mu S\,dt + \sigma S\,dWdS=μSdt+σSdW; by Example 3.8, St=S0exp((μ−12σ2)t+σWt)S_t = S_0\exp((\mu - \tfrac12\sigma^2)t + \sigma W_t)St=S0exp((μ−21σ2)t+σWt), lognormal. Baca dalam konteks →