Quantitative Finance, Finance, Economics, Mathematics.
pricing. Mathematical Definition A Geometric Brownian Motion \( S(t) \) is described by the stochastic differential equation (SDE): \[ dS(t) = \mu S(t) dt + \sigma S(t) dW(t) \] where: - \( \mu \) represents the “drift” coefficient, typically interpreted as the expected return of the stock. - \(