Deriscope

The Excel Derivatives Periscope

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Geom_Brownian_Process

Geom Brownian Process is a Type that represents a Geometric Brownian stochastic process with constant drift and volatility parameters.
The diffusion equation of the stochastic process x is:
dx = μxdt + σxdw
where μ,σ are constant parameters that describe the drift and lognormal volatility of x