On The Validity of The Geometric Brownian Motion Assumption
By Rahul R. Marathe, Sarah M. Ryan. 2005
173 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/db59ad6dffd7cfaca0ecda4b64bf3a7d533ac67d
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In Finance
Citations in the corpus
- Modeling and solving a large-scale generation expansion planning problem under uncertainty (2011, background): “Therefore, the assumption that both D ( y ) and G ( y ) follow GBM processes is supported by these tests [42].”