GEOMETRIC BROWNIAN MOTION
\d͡ʒˌiːə͡ʊmˈɛtɹɪk bɹˈa͡ʊni͡ən mˈə͡ʊʃən], \dʒˌiːəʊmˈɛtɹɪk bɹˈaʊniən mˈəʊʃən], \dʒ_ˌiː__əʊ_m_ˈɛ_t_ɹ_ɪ_k b_ɹ_ˈaʊ_n_iə_n m_ˈəʊ_ʃ_ə_n]\
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A lognormal, continuoustime STOCHASTIC PROCESS where the movement of a variable, such as a financial ASSET price, is random in continuous time; the instantaneous return (defined as the change in the price of the variable divided by the price of the variable) has a constant MEAN and VARIANCE. Certain DERIVATIVE pricing methodologies are based on the Geometric Brownian motion process.
By Henry Campbell Black
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Nearby Words
- geomantick
- geometer
- geometer, geometrician
- geometral
- geometric
- geometric brownian motion
- geometric mean
- geometric pace
- geometric progression
- geometric series
- geometric(al)