https://gdpark.blog/tags/geometric-brownian-motion/Recent content in Geometric-Brownian-Motion on gdpark.blogHugoenFri, 16 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-08-wiener-process/Mon, 03 Oct 2016 00:00:00 +0000https://gdpark.blog/posts/financial-engineering-08-wiener-process/Can’t derive Black-Scholes and not even gonna try — instead we’re just coding it up while taking a detour through Brownian motion and Geometric Brownian Motion.https://gdpark.blog/posts/derivatives-17-black-scholes-formula-practice-problems/Fri, 16 Dec 2016 00:00:00 +0000https://gdpark.blog/posts/derivatives-17-black-scholes-formula-practice-problems/Working through Chapter 13 Black-Scholes practice problems — from log-normal returns and Geometric Brownian Motion to actually pricing European call options.