Class GBMProcess


  • public class GBMProcess
    extends SDE
    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.
    See Also:
    Wikipedia: Geometric Brownian motion
    • Constructor Detail

      • GBMProcess

        public GBMProcess​(double r,
                          double sigma)
        Construct a Geometric Brownian motion.
        dS = rSdt + σSdW
        Parameters:
        r - the log drift
        sigma - the log diffusion coefficient