Multivariate Geometric Brownian Motion
GBM can be extended to the cast where there are multiple correlated price paths.
Each price path follows the underlying process
- ,
where the Wiener processes are correlated such that where .
For the multivariate case, this implies that
- .
Read more about this topic: Geometric Brownian Motion
Famous quotes containing the words geometric and/or motion:
“New York ... is a city of geometric heights, a petrified desert of grids and lattices, an inferno of greenish abstraction under a flat sky, a real Metropolis from which man is absent by his very accumulation.”
—Roland Barthes (1915–1980)
“Speech belongs half to the speaker, half to the listener. The latter must prepare to receive it according to the motion it takes.”
—Michel de Montaigne (1533–1592)