It turns out such markets are incomplete and therefore, unlike the geometric Brownian motion case, there exist an infinite number of such equivalent martingale measures (Eberlein and Jacod, 1997).
What does GBM stand for?
GBM stands for Geometric Brownian Motion (mathematical finance)
This definition appears very rarely and is found in the following Acronym Finder categories:
- Science, medicine, engineering, etc.
- Business, finance, etc.
See other definitions of GBM
We have 100 other meanings of GBM in our Acronym Attic
- Grapevine Bulgarian Latent Virus (plant disease)
- Greater Bear Lake Valley Chamber of Commerce (Idaho)
- Global Crossing Ltd. (stock symbol)
- Game Boy Micro (game console)
- Gaussian Beam Model
- Gay and Bisexual Men
- Gay Black Male
- General Business Meeting (various organizations)
- Genie Backup Manager (software)
- Génie Biomédical (French: Biomedical Engineering)
Samples in periodicals archive:
Geometric Brownian motion as Stock Price Model The stock price [W.
Methods The author uses a geometric Brownian motion model of the stock price to estimate the distribution of stock prices over the U.
assume that the housing price follows a geometric Brownian motion process.
We determine the present value of the expected flow of profits from an incremental unit of capacity for a given capacity K Recall the Pindyck's solution for the geometric Brownian motion case: If [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII], (9) where [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII], and [MATHEMATICAL EXPRESSION NOT REPRODUCIBLE IN ASCII], The assumption that the process [theta] follows a geometric Brownian motion means that [theta] has a determinist trend but for a long horizon, [theta] may have values very far from this prediction.
Similarly, why a geometric Brownian motion assumption at portfolio level gives a different answer when the assets comprising the portfolio are each assumed to follow a geometric Brownian motion is exciting reading for a curious reader.
The oil price is the market uncertainty and it is assumed to follow one of two possible stochastic processes: Geometric Brownian Motion or Mean Reversion Process.
Among these models are the stochastic or least squares version of the exponential model, the geometric Brownian motion model, and a discrete form of the exponential model.