Stoch Answers Papers Up

Brownian Motion

Brownian Motion is a model in which the asset prices are normally distributed with a mean and variance being linear in time. i.e. The asset price growth with time is linear plus noise.

Themes

Finance, Normal distribution

History

1900 AD Bachelier Brownian Motion
1963 AD Mandlebrot Cotton prices
1973 AD Black, Scholes & Merton Black-Scholes