/geometric-brownian-motion

Monte Carlo generator of geometric brownian motion sample paths for .Net.

Primary LanguageC#

Monte Carlo generator of geometric brownian motion samples

This WPF application lets you generate sample paths of a geometric brownian motion. This type of stochastic process is frequently used in the modelling of asset prices.

Usage

Start the application and enter the following values:

  1. the number of paths to generate,
  2. the number of samples per path,
  3. the initial value of the sample path,
  4. the drift,
  5. the standard deviation,
  6. and the time limit.

For example:

Alt text