Geometric Brownian motion approach to modelling stock prices

Cigdem Topcu Guloksuz

Geometric Brownian motion approach to modelling stock prices

Cigdem Topcu Guloksuz Ankara Science University https://orcid.org/0000-0002-7433-1297

Keywords: Random Walk, Brownian Motion, Geometric Brownian Motion, Ito's Lemma, Stock Prices, Return

Abstract

In this paper, geometric Brownian motion is revisited as a mathematical model for the financial returns. The properties of geometric Brownian motion process which provide modelling the stock prices are discussed. An application study is conduct to present the performance of the revisited model.

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Published

2021-05-27

How to Cite

Topcu Guloksuz, C. (2021). Geometric Brownian motion approach to modelling stock prices. FORCE: Focus on Research in Contemporary Economics, 2(1), 53-63. Retrieved from https://www.forcejournal.org/index.php/force/article/view/24

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Issue

Vol. 2 No. 1 (2021): Focus on Research in Contemporary Economics (FORCE)

Section

Articles

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