Geometric Brownian Motion - Multivariate Geometric Brownian Motion

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

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