Stochastic Processes Simulation — Geometric Brownian Motion

Stochastic Processes Simulation — Geometric Brownian Motion

Part 4 of the Stochastic Processes Simulation series. Simulating geometric Brownian motion in Python from scratch.

Geometric Brownian motion is perhaps the most famous stochastic process aside from Brownian motion itself. It arises when we consider a process whose increments’ variance is proportional to the value of the process.

In this story, we will discuss geometric (exponential) Brownian motion. We will learn how to simulate such a process and estimate …

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