About this document
GBM Simulation and Visualization by Omondi Michael Jagongo is a document available to read on EtoBox.
This document simulates geometric Brownian motion using R. It first describes the numerical solution for discretizing GBM. It then provides an example of simulating a single stock price trajectory over 100 days. Finally, it simulates 50 sample paths over the same period to illustrate the distribution of possible price outcomes. The key steps are: 1) Discretizing the GBM formula, 2) Simulating a stock price trajectory using the numerical solution, and 3) Simulating multiple trajectories to compare different
- Author
- Omondi Michael Jagongo
- Language
- EN