Geometric Brownian motion

Math Background

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Usage

import {stochastic} from 'stochastic-js';

const mu = 1;
const sigma = 1;
const S0 = 100;
const n = 100;
const T = 1;

const {dS, S} = stochastic.diffusions.gbm(mu, sigma, S0, n, T);

// dS the increments of the process
// S the realization of the process