Simulate and plot geometric brownian motion

*To*: mathgroup at smc.vnet.net*Subject*: [mg122727] Simulate and plot geometric brownian motion*From*: Priyan Fernando <priyan.fernando at gmail.com>*Date*: Wed, 9 Nov 2011 06:22:02 -0500 (EST)*Delivered-to*: l-mathgroup@mail-archive0.wolfram.com

Hi Wonder if you could please help me simulate and plot geometric brownian motion (GBM) E.g. dS = mew * S dt + sigma * S *dX What I am trying to do is generate in Mathematica the process for a stock/share price based on GBM Therefore: dS is change in share price S is the share price (e.g. let S start from 100) dt is the time step (e.g. in discrete version we could have dt=1/52 so timestep is 1 week) mew is the drift (e.g. mew = 5%) sigma is the volatility (e.g. sigma = 10%) dX is brownian motion (e.g. in discrete version, dX = Sqrt(dt) * N(0,1)) What I am trying to obtain is pairs (x,y) where x is the time step and y is the share price. And then to be able to plot this. Thanks for your help, Priyan.

**Follow-Ups**:**Re: Simulate and plot geometric brownian motion***From:*Andrzej Kozlowski <akoz@mimuw.edu.pl>