BM with drift is more visual than a GBM +! drift

Now I think BM with drift is easier to deal with than GBM — with or without drift.

For a BM with drift, the position at a future time T has a familiar normal distribution. The next increment (+ve or –ve), too, has a normal distribution.

The GBM has a asymmetric bell shape. Harder to visualize.


Fill in your details below or click an icon to log in: 徽标

您正在使用您的 账号评论。 登出 /  更改 )

Google photo

您正在使用您的 Google 账号评论。 登出 /  更改 )

Twitter picture

您正在使用您的 Twitter 账号评论。 登出 /  更改 )

Facebook photo

您正在使用您的 Facebook 账号评论。 登出 /  更改 )

Connecting to %s