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)
“Two children, all alone and no one by,
Holding their tattered frocks, thro’an airy maze
Of motion lightly threaded with nimble feet
Dance sedately; face to face they gaze,
Their eyes shining, grave with a perfect pleasure.”
—Laurence Binyon (1869–1943)