Abstract
Geometric Brownian motion (GBM) (also known as exponential Brownian motion) is a continuous time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion. It is used in mathematical finance to model stock prices in the Black–Scholes model (see http://en.wikipedia.org/wiki/ Geometric_Brownian_motion).
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
Reference
G. N. Watson, A Treatise on the Theory of Bessel Functions, Cambridge University Press, 1966
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this chapter
Cite this chapter
Maccone, C. (2012). Maccone third KLT theorem: Asymptotic KLT of GBM. In: Mathematical SETI. Springer Praxis Books(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27437-4_26
Download citation
DOI: https://doi.org/10.1007/978-3-642-27437-4_26
Published:
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-27436-7
Online ISBN: 978-3-642-27437-4
eBook Packages: Physics and AstronomyPhysics and Astronomy (R0)