Simulating Brownian Motion
Document Type
Book Chapter
Publication Title
Indian Statistical Institute Series
Abstract
Brownian motion and geometric Brownian motion are the most common models encountered in financial problems. In certain cases, it is possible to obtain analytical expressions for objects of interest from the model. Examples include pricing of vanilla options under the Black–Scholes model.
First Page
109
Last Page
125
DOI
10.1007/978-981-19-2008-0_10
Publication Date
1-1-2023
Recommended Citation
Sen, Rituparna and Das, Sourish, "Simulating Brownian Motion" (2023). Book Chapters. 217.
https://digitalcommons.isical.ac.in/book-chapters/217
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