GEOMETRIC BROWNIAN MOTION
\d͡ʒˌiːə͡ʊmˈɛtɹɪk bɹˈa͡ʊni͡ən mˈə͡ʊʃən], \dʒˌiːəʊmˈɛtɹɪk bɹˈaʊniən mˈəʊʃən], \dʒ_ˌiː__əʊ_m_ˈɛ_t_ɹ_ɪ_k b_ɹ_ˈaʊ_n_iə_n m_ˈəʊ_ʃ_ə_n]\
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A lognormal, continuoustime STOCHASTIC PROCESS where the movement of a variable, such as a financial ASSET price, is random in continuous time; the instantaneous return (defined as the change in the price of the variable divided by the price of the variable) has a constant MEAN and VARIANCE. Certain DERIVATIVE pricing methodologies are based on the Geometric Brownian motion process.
By Henry Campbell Black
Word of the day
Dopamine Acetyltransferase
- An enzyme that catalyzes the of groups from acetyl-CoA to arylamines. They have wide specificity for aromatic amines, particularly serotonin, and can also catalyze acetyl transfer between arylamines without CoA. EC 2.3.1.5.
Nearby Words
- geomantick
- geometer
- geometer, geometrician
- geometral
- geometric
- geometric brownian motion
- geometric mean
- geometric pace
- geometric progression
- geometric series
- geometric(al)