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)
“Wine gives a man nothing. It neither gives him knowledge nor wit; it only animates a man, and enables him to bring out what a dread of the company has repressed. It only puts in motion what had been locked up in frost.”
—Samuel Johnson (1709–1784)