Keras Reinforcement Learning Projects

The Geometric Brownian motion model

The geometric Brownian motion is a stochastic process defined in the continuum in which the logarithm of the random variable over time follows a Brownian motion. This process is particularly important in the financial sector, particularly in the option pricing, as the Black-Scholes-Merton (BSM) model assumes that the price of the underlying asset follows such a process.

This model takes its name from the botanist Robert Brown (1828), who observed in 1827 that particles of pollen suspended in water moved irregularly on a microscopic scale. Later, it was discovered that the movement was due to the water molecules that accidentally hit the pollen particles and put them in motion. Brown posed the problem of ...