Geometric Brownian motion: illustration

Initial price S 100.00

Drift m 10.00%
Volatilty s 30.00%
# steps /year 52
TimeStep Dt 0.0192308
<=========Drift================= <=== ===Random component========>
Cumulated
Drift Non stoch. random
component Evolution shocks
Period mDt S0+SmS0Dt mSDt N(0,1) Dz sDz sSDz SsSDz DS S
0 100.00 0 100.00
1 0.19% 100.19 0.19 -0.6815 -0.0945 -0.0284 -2.84 -2.84 -2.64 97.36
2 0.19% 100.38 0.19 -1.3375 -0.1855 -0.0556 -5.42 -8.25 -5.23 92.13
3 0.19% 100.58 0.18 -1.4508 -0.2012 -0.0604 -5.56 -13.81 -5.38 86.74
4 0.19% 100.77 0.17 2.3178 0.3214 0.0964 8.36 -5.45 8.53 95.27
5 0.19% 100.97 0.18 -0.1366 -0.0189 -0.0057 -0.54 -5.99 -0.36 94.92
6 0.19% 101.16 0.18 -0.2630 -0.0365 -0.0109 -1.04 -7.03 -0.86 94.06
7 0.19% 101.35 0.18 -0.0273 -0.0038 -0.0011 -0.11 -7.14 0.07 94.13
8 0.19% 101.55 0.18 0.4122 0.0572 0.0172 1.61 -5.52 1.80 95.93
9 0.19% 101.74 0.18 0.3055 0.0424 0.0127 1.22 -4.30 1.40 97.33
10 0.19% 101.94 0.19 -2.3858 -0.3309 -0.0993 -9.66 -13.96 -9.47 87.86
11 0.19% 102.14 0.17 1.1559 0.1603 0.0481 4.23 -9.74 4.39 92.25
12 0.19% 102.33 0.18 -1.2696 -0.1761 -0.0528 -4.87 -14.61 -4.70 87.56
13 0.19% 102.53 0.17 -1.3002 -0.1803 -0.0541 -4.74 -19.35 -4.57 82.99
14 0.19% 102.73 0.16 -0.1006 -0.0140 -0.0042 -0.35 -19.69 -0.19 82.80
15 0.19% 102.92 0.16 -0.4051 -0.0562 -0.0169 -1.40 -21.09 -1.24 81.57
16 0.19% 103.12 0.16 0.7688 0.1066 0.0320 2.61 -18.48 2.77 84.33
17 0.19% 103.32 0.16 0.1705 0.0236 0.0071 0.60 -17.88 0.76 85.09
18 0.19% 103.52 0.16 1.1367 0.1576 0.0473 4.02 -13.86 4.19 89.28
19 0.19% 103.72 0.17 0.3598 0.0499 0.0150 1.34 -12.52 1.51 90.79
20 0.19% 103.92 0.17 0.3083 0.0428 0.0128 1.16 -11.36 1.34 92.13
21 0.19% 104.12 0.18 -0.9595 -0.1331 -0.0399 -3.68 -15.04 -3.50 88.63
22 0.19% 104.32 0.17 2.8963 0.4016 0.1205 10.68 -4.36 10.85 99.48
23 0.19% 104.52 0.19 3.4372 0.4767 0.1430 14.22 9.87 14.42 113.89
24 0.19% 104.72 0.22 -1.3943 -0.1934 -0.0580 -6.61 3.26 -6.39 107.51
 Geometric Brownian motion
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Drift Random shocks Stock price