Simulating Stock Prices Using Geometric Brownian Motion: Evidence from Australian Companies
This study uses the geometric Brownian motion (GBM) method to simulate stock price paths, and tests whether the simulated stock prices align with actual stock returns. The sample for this study was based on the large listed Australian companies listed on the S&P/ASX 50 Index. Daily stock price d...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2016-09-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/cgi/siteview.cgi/aabfj/vol10/iss3/3 |