com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde
Class GeometricBrownian

java.lang.Object
  com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.SDE
      com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.GeometricBrownian

public class GeometricBrownian
extends SDE

A Geometric Brownian motion (GBM) (occasionally, exponential Brownian motion) is a continuous-time stochastic process in which the logarithm of the randomly varying quantity follows a Brownian motion.

See Also:

Wikipedia: Geometric Brownian motion

Field Summary

Fields inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.SDE

mu, sigma

Constructor Summary

GeometricBrownian(double r, double sigma)
Construct a Geometric Brownian motion.

Method Summary

Methods inherited from class com.numericalmethod.suanshu.stats.stochasticprocess.univariate.sde.SDE

getFt

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GeometricBrownian

public GeometricBrownian(double r,
                         double sigma)

Construct a Geometric Brownian motion.

 dS = rSdt + σSdW
 

Parameters:

r - the log drift

sigma - the log diffusion coefficient