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Quantitative Finance · Glosarium

Apa itu Geometric Brownian motion?

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\,dW; by Example 3.8, St=S0exp⁡((μ−12σ2)t+σWt)S_t = S_0\exp((\mu - \tfrac12\sigma^2)t + \sigma W_t), lognormal.

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