Expand description
Geometric Brownian Motion (GBM) for modelling stock prices and multiplicative stochastic processes.
dS = mu * S * dt + sigma * S * dW Closed-form: S(t) = S(0) * exp((mu - sigma²/2)*t + sigma * W(t))
Structs§
- GBMRenderer
- Render GBM price paths as glyph line charts.
- GeometricBM
- Geometric Brownian Motion parameters.
- Greeks
- Greeks for a European call option.
Functions§
- black_
scholes_ call - Black-Scholes European call option price.
- black_
scholes_ put - Black-Scholes European put option price.
- call_
greeks - Compute Greeks for a European call.
- implied_
volatility_ call - Compute the implied volatility for a call option using bisection.