Browsing by Subject "Geometric Brownian motion (GBM)"
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Item A geometric Brownian motion oil price model(2006-05) Xu, Liying, 1962-; Van Rensburg, W.C.J.This thesis uses the Geometric Brownian motion (GBM) to model oil daily spot prices. The history of the evolution of Brownian motion from discovery as a physical phenomenon to the development of a mathematic model and to the application in the finance world was studied. The study helps understanding of the analogy between molecular movement and the price change and helps the application of GBM to model the oil price. The historical WTI daily spot price was adjusted and used to estimate the parameters in the GBM model. Two computer programs were developed to facilitate the application of GBM model to daily spot oil prices.