Black Scholes, Stochastic Process, Options Trading, Financial Modelling, Differential Equations.
Stochastic differential equation A stochastic process St is said to follow a GBM if it satisfies the following stochastic differential equation (SDE): Equation 1: Stochastic differential equation where W_{t} is a Wiener process or Brownian motion, and 𝜇 (‘the percentage drift’) and 𝜎 (‘the