Simulation of geometric Brownian motion

Math 339, Spring 2007

Version 5.6.07

- A B C D E
1 Normal random variable BM Geometric BM mu sigma
2 - (starting value) (starting value) (value of mu) (value of sigma)
3 (see below) =B2+A3 =C2 + C2*($E$2+$F$2*A3) - -
4 (copy and paste to cells below) (copy and paste to cells below) (copy and paste to cells below) - -



Notes



Version 3.11.07