Publication Cover
The Engineering Economist
A Journal Devoted to the Problems of Capital Investment
Volume 50, 2005 - Issue 2
1,448
Views
87
CrossRef citations to date
0
Altmetric
Original Articles

On The Validity of The Geometric Brownian Motion Assumption

&
Pages 159-192 | Published online: 24 Feb 2007

Keep up to date with the latest research on this topic with citation updates for this article.

Read on this site (11)

Nattawoot Koowattanatianchai, Michael B. Charles & Michael A. Kortt. (2024) A deterministic economic model of optimal asset scrapping under the effects of taxes and inflation. The Engineering Economist 69:1, pages 2-36.
Read now
R. A. Munis, D. A. Camargo, J. C. Martins & D. Simões. (2022) Incorporating management flexibility: a Real Options Approach to harvesting Eucalyptus plantations. Australian Forestry 85:3, pages 133-140.
Read now
Marcus Seidl, Andreas Wensauer & Wolfgang Faber. (2022) Experience with valuation methods for the creation of real options enabling diversity of nuclear fuel supply. Journal of Nuclear Science and Technology 59:2, pages 175-187.
Read now
Kihyung Kim & Abhijit Deshmukh. (2021) Bandwagon Investment Equilibrium of Investment Timing Games. The Engineering Economist 66:4, pages 265-278.
Read now
Kyung-Taek Kim, Donghyun An & Deok-Joo Lee. (2021) Economic service life of equipment under uncertain revenues: A real options approach. The Engineering Economist 66:3, pages 245-261.
Read now
Kyongsun Kim & Chan S. Park. (2021) Pricing real options based on linear loss functions and conditional value at risk. The Engineering Economist 66:1, pages 3-26.
Read now
Karthik Raju & Saravanan Rangaswamy. (2017) Forecasting volatility in the Indian equity market using return and range-based models. Applied Economics 49:49, pages 5027-5039.
Read now
Najmeh Madadi, Azanizawati Ma’aram & Kuan Yew Wong. (2017) A simulation-based product diffusion forecasting method using geometric Brownian motion and spline interpolation. Cogent Business & Management 4:1.
Read now
Gualter Couto, Cláudia Nunes & Pedro Pimentel. (2015) High-speed rail transport valuation and conjecture shocks. The European Journal of Finance 21:10-11, pages 791-805.
Read now
Sergio Luis Franklin$suffix/text()$suffix/text() & Madiagne Diallo. (2012) Valuing Real Options for Network Investment Decisions and Cost-Based Access Pricing. The Engineering Economist 57:4, pages 223-246.
Read now
Pedro Miguel Pimentel, José Azevedo-Pereira & Gualter Couto. (2012) High-speed rail transport valuation. The European Journal of Finance 18:2, pages 167-183.
Read now

Articles from other publishers (76)

Satoshi Nakano & Kazuhiko Nishimura. (2023) The elastic origins of tail asymmetry. Macroeconomic Dynamics 28:3, pages 591-611.
Crossref
Zuguang Gao, Nur Sunar & John R. Birge. (2023) Power Purchase Agreements with Renewables: Optimal Timing and Design. Power Purchase Agreements with Renewables: Optimal Timing and Design.
Daniil Karzanov. (2023) Headline-Driven Classification and Local Interpretation for Market Outperformance and Low-Risk Stock Prediction. Computational Economics.
Crossref
Gazi Nazia Nur, Cameron A. MacKenzie & Kyung Jo Min. (2023) A Real Options Analysis model for generation expansion planning under uncertain demand. Decision Analytics Journal 8, pages 100263.
Crossref
Cesare Caputo, Michel-Alexandre Cardin, Pudong Ge, Fei Teng, Anna Korre & Ehecatl Antonio del Rio Chanona. (2023) Design and planning of flexible mobile Micro-Grids using Deep Reinforcement Learning. Applied Energy 335, pages 120707.
Crossref
Eric Teye Mensah, Alexander Boateng, Nana Kena Frempong & Daniel Maposa. (2023) Simulating stock prices using geometric Brownian motion model under normal and convoluted distributional assumptions. Scientific African 19, pages e01556.
Crossref
Nikolaos Kanellos, Dimitrios Katsianis & Dimitrios Varoutas. (2023) Assessing the Impact of Emerging Vertical Markets on 5G Diffusion Forecasting. IEEE Communications Magazine 61:2, pages 38-43.
Crossref
Liquan Guo & Changmin Jiang. (2022) Optimal scale and capacity integration in a port cluster under demand uncertainty. Computers & Industrial Engineering 173, pages 108733.
Crossref
Yiju Ma, Archie C. Chapman & Gregor Verbič. (2022) Valuation of compound real options for co-investment in residential battery systems. Applied Energy 318, pages 119111.
Crossref
Karina Arias-Calluari, Morteza. N. Najafi, Michael S. Harré, Yaoyue Tang & Fernando Alonso-Marroquin. (2022) Testing stationarity of the detrended price return in stock markets. Physica A: Statistical Mechanics and its Applications 587, pages 126487.
Crossref
Hardo Holpus, Ahmad Alqatan & Muhammad Arslan. 2021. Accounting and Finance Innovations. Accounting and Finance Innovations.
Matteo Balliauw. (2021) Time to build: A real options analysis of port capacity expansion investments under uncertainty. Research in Transportation Economics 90, pages 100929.
Crossref
J.W. Byers, I. Popova & B.J. Simkins. (2021) Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers. Journal of Commodity Markets 24, pages 100174.
Crossref
Amit K. Sinha. (2021) The reliability of geometric Brownian motion forecasts of S&P500 index values. Journal of Forecasting 40:8, pages 1444-1462.
Crossref
Liquan Guo, Adolf K.Y. Ng, Changmin Jiang & Jiancheng Long. (2021) Stepwise capacity integration in port cluster under uncertainty and congestion. Transport Policy 112, pages 94-113.
Crossref
Fikri Kucuksayacigil & K. Jo Min. (2020) A lattice method for jump-diffusion process applied to transmission expansion investments under demand and distributed generation uncertainties. Energy Systems 12:3, pages 773-800.
Crossref
Varun Gupta & Sandun Perera. (2021) Managing surges in online demand using bandwidth throttling: An optimal strategy amid the COVID-19 pandemic. Transportation Research Part E: Logistics and Transportation Review 151, pages 102339.
Crossref
Siva Rajesh Kasa & Malay Bhattacharyya. (2021) A Statistical Test for Detecting Dependency Breakdown in Financial Markets. SN Computer Science 2:4.
Crossref
Nikolaos Kanellos, Dimitrios Katsianis & Dimitrios Varoutas. (2021) On the Introduction of Diffusion Uncertainty in Telecommunications’ Market Forecasting. On the Introduction of Diffusion Uncertainty in Telecommunications’ Market Forecasting.
Sandun Perera, Varun Gupta & Winston Buckley. (2020) Management of online server congestion using optimal demand throttling. European Journal of Operational Research 285:1, pages 324-342.
Crossref
Rolando Pringles, Fernando Olsina & Franco Penizzotto. (2020) Valuation of defer and relocation options in photovoltaic generation investments by a stochastic simulation-based method. Renewable Energy 151, pages 846-864.
Crossref
Matteo Balliauw & Evy Onghena. (2020) Expanding airport capacity of cities under uncertainty: Strategies to mitigate congestion. Journal of Air Transport Management 84, pages 101791.
Crossref
G.S. Vidya, V.S. Hari & Suryakumar Shivasagaran. (2020) Estimation of Passenger Flow in a Bus Route using Kalman Filter. Estimation of Passenger Flow in a Bus Route using Kalman Filter.
Sarah McAllister Ryan. 2020. Women in Industrial and Systems Engineering. Women in Industrial and Systems Engineering 49 69 .
F. Penizzotto, R. Pringles & F. Olsina. (2019) Real options valuation of photovoltaic power investments in existing buildings. Renewable and Sustainable Energy Reviews 114, pages 109308.
Crossref
Enea G. Bongiorno, Aldo Goia & Philippe Vieu. (2018) Modeling functional data: a test procedure. Computational Statistics 34:2, pages 451-468.
Crossref
Francisco J. Díaz-Borrego, María del Mar Miras-Rodríguez & Bernabé Escobar-Pérez. (2019) Looking for Accurate Forecasting of Copper TC/RC Benchmark Levels. Complexity 2019, pages 1-16.
Crossref
Matteo Balliauw, Peter M. Kort & Anming Zhang. (2019) Capacity investment decisions of two competing ports under uncertainty: A strategic real options approach. Transportation Research Part B: Methodological 122, pages 249-264.
Crossref
Matías Siña & Juan Ignacio Guzmán. (2019) Real option valuation of open pit mines with two processing methods. Journal of Commodity Markets 13, pages 30-39.
Crossref
Bridget Nkemnole & Olaide Abass. (2019) Estimation of geometric Brownian motion model with a t-distribution–based particle filter. Journal of Economic and Financial Sciences 12:1.
Crossref
Bogdan Rębiasz, Bartłomiej Gaweł & Iwona Skalna. 2019. Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018. Information Systems Architecture and Technology: Proceedings of 39th International Conference on Information Systems Architecture and Technology – ISAT 2018 323 332 .
Manuel V. Loureiro, Kristen R. Schell, João Claro & Paul Fischbeck. (2018) Renewable integration through transmission network expansion planning under uncertainty. Electric Power Systems Research 165, pages 45-52.
Crossref
Kazunori Umino, Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada & Takao Terano. (2018) Modeling the Momentum Effect in Stock Markets to Propose a New Portfolio Algorithm. Journal of Advanced Computational Intelligence and Intelligent Informatics 22:7, pages 1016-1025.
Crossref
Kazunori Umino, Takamasa Kikuchi, Masaaki Kunigami, Takashi Yamada & Takao Terano. (2018) Modeling the Momentum Effect in Financial Stock Markets株式市場のモメンタム効果再現モデル. Transactions of the Japanese Society for Artificial Intelligence 33:4, pages E-HB3_1-9.
Crossref
Di Asih I Maruddani & Trimono. (2018) Modeling stock prices in a portfolio using multidimensional geometric brownian motion. Journal of Physics: Conference Series 1025, pages 012122.
Crossref
Pan Zhao, Jian Pan, Benda Zhou, Jixia Wang & Yu Song. (2018) Hedging for the Regime-Switching Price Model Based on Non-Extensive Statistical Mechanics. Entropy 20:4, pages 248.
Crossref
Jesus Francisco Ortiz-Yañez & Manuel Román Piña Monarrez. (2018) Discrimination between the lognormal and Weibull Distributions by using multiple linear regression. DYNA 85:205, pages 9-18.
Crossref
Manuel R. Piña‐Monarrez. (2017) Weibull stress distribution for static mechanical stress and its stress/strength analysis. Quality and Reliability Engineering International 34:2, pages 229-244.
Crossref
Rodrigo Pérez Odeh, David Watts & Matías Negrete-Pincetic. (2018) Portfolio applications in electricity markets review: Private investor and manager perspective trends. Renewable and Sustainable Energy Reviews 81, pages 192-204.
Crossref
Yon -Chun Chou, Ta -Ching Yang & Ting-Sheng Chen. (2016) Expansion of finite lifetime capacity under random demand shocks. The International Journal of Advanced Manufacturing Technology 89:5-8, pages 1901-1913.
Crossref
Nguyen Thanh Phong, Veerasak Likhitruangsilp & Masamitsu Onishi. Developing a stochastic traffic volume prediction model for public-private partnership projects. Developing a stochastic traffic volume prediction model for public-private partnership projects.
Enea G. Bongiorno, Aldo Goia & Philippe Vieu. 2017. Functional Statistics and Related Fields. Functional Statistics and Related Fields 59 65 .
Manuel R. Piña-Monarrez, Jesús F. Ortiz-Yañez & Manuel I. Rodríguez-Borbón. (2016) Non-normal Capability Indices for the Weibull and Lognormal Distributions. Quality and Reliability Engineering International 32:4, pages 1321-1329.
Crossref
Mostafa Reisi Gahrooei, Yuna Zhang, Baabak Ashuri & Godfried Augenbroe. (2016) Timing residential photovoltaic investments in the presence of demand uncertainties. Sustainable Cities and Society 20, pages 109-123.
Crossref
Linda PetersLinda Peters. 2016. Real Options Illustrated. Real Options Illustrated 27 85 .
Bowei Chen, Jun Wang, Ingemar J. Cox & Mohan S. Kankanhalli. (2015) Multi-Keyword Multi-Click Advertisement Option Contracts for Sponsored Search. ACM Transactions on Intelligent Systems and Technology 7:1, pages 1-29.
Crossref
Bowei Chen & Jun Wang. (2015) A lattice framework for pricing display advertisement options with the stochastic volatility underlying model. Electronic Commerce Research and Applications 14:6, pages 465-479.
Crossref
Shiyuan Zheng & Rudy R. Negenborn. (2015) Price negotiation between supplier and buyer under uncertainty with fixed demand and elastic demand. International Journal of Production Economics 167, pages 35-44.
Crossref
Young-Ho Eom, Michelangelo Puliga, Jasmina Smailović, Igor Mozetič & Guido Caldarelli. (2015) Twitter-Based Analysis of the Dynamics of Collective Attention to Political Parties. PLOS ONE 10:7, pages e0131184.
Crossref
M. Keyvanloo, A.M. Kimiagari & A. Esfahanipour. (2015) A hybrid approach to select the best sourcing policy using stochastic programming. Journal of Manufacturing Systems 36, pages 115-127.
Crossref
Amir Hossein Seddighi & Amir Ahmadi-Javid. (2015) Integrated multiperiod power generation and transmission expansion planning with sustainability aspects in a stochastic environment. Energy 86, pages 9-18.
Crossref
Xunxiao Wang, Chongfeng Wu & Weidong Xu. (2015) When to buy or sell in supply chains with the presence of mergers. International Journal of Production Economics 163, pages 137-145.
Crossref
Manuel V. Loureiro, João Claro & Paulo J. Pereira. (2015) Capacity expansion in transmission networks using portfolios of real options. International Journal of Electrical Power & Energy Systems 64, pages 439-446.
Crossref
Rolando Pringles, Fernando Olsina & Francisco Garcés. (2015) Real option valuation of power transmission investments by stochastic simulation. Energy Economics 47, pages 215-226.
Crossref
Yon-Chun Chou, Wen-Chi Sung, Grace Lin & John Jahn. (2014) A comparative study on the performance of timing and sizing models of capacity expansion under volatile demand growth and finite equipment lifetime. Computers & Industrial Engineering 76, pages 98-108.
Crossref
Robin Lindsey & André de Palma. (2014) Cost recovery from congestion tolls with long-run uncertainty. Economics of Transportation 3:2, pages 119-132.
Crossref
Mohammad Ilbeigi, Baabak Ashuri & Yang Hui. (2014) A Stochastic Process to Model the Fluctuations of Asphalt Cement Price. A Stochastic Process to Model the Fluctuations of Asphalt Cement Price.
Rolando Pringles, Fernando Olsina & Francisco Garcés. (2014) Designing regulatory frameworks for merchant transmission investments by real options analysis. Energy Policy 67, pages 272-280.
Crossref
Jaehun Sim & Vittaldas V. Prabhu. 2014. Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications. Progress in Pattern Recognition, Image Analysis, Computer Vision, and Applications 286 293 .
Baichun Feng, Tao Yao & Bin Jiang. (2013) Analysis of the Market‐Based Adjustable Outsourcing Contract under Uncertainties. Production and Operations Management 22:1, pages 178-188.
Crossref
Yonghan Feng & Sarah M. Ryan. (2013) Scenario construction and reduction applied to stochastic power generation expansion planning. Computers & Operations Research 40:1, pages 9-23.
Crossref
Yongma Moon, Tao Yao & Sungsoon Park. (2011) Price negotiation under uncertainty. International Journal of Production Economics 134:2, pages 413-423.
Crossref
Shan Jin, Sarah M. Ryan, Jean-Paul Watson & David L. Woodruff. (2011) Modeling and solving a large-scale generation expansion planning problem under uncertainty. Energy Systems 2:3-4, pages 209-242.
Crossref
Joseph Y.J. Chow, Amelia C. Regan, Fatemeh Ranaiefar & Dmitri I. Arkhipov. (2011) A network option portfolio management framework for adaptive transportation planning. Transportation Research Part A: Policy and Practice 45:8, pages 765-778.
Crossref
Matthew J. Reindorp & Michael C. Fu. (2011) Capital renewal as a real option. European Journal of Operational Research 214:1, pages 109-117.
Crossref
Bin Jiang, Srinivas Talluri, Tao Yao & Yongma Moon. (2010) Breaking the Winner's Curse in Outsourcing. Decision Sciences 41:3, pages 573-594.
Crossref
Ruxing Xu & Shenghong Li. (2010) Belief updating, debt pricing and financial decisions under asymmetric information. Research in International Business and Finance 24:2, pages 123-137.
Crossref
Ruxing Xu, Dan Wu & Shenghong Li. (2009) Belief Updating and Financial Decisions under Asymmetric Information. Belief Updating and Financial Decisions under Asymmetric Information.
Juho Kanniainen. (2008) Can properly discounted projects follow geometric Brownian motion?. Mathematical Methods of Operations Research 70:3, pages 435-450.
Crossref
Rahul R. Marathe & Sarah M. Ryan. (2009) Capacity expansion under a service‐level constraint for uncertain demand with lead times. Naval Research Logistics (NRL) 56:3, pages 250-263.
Crossref
Paulo Jorge Pereira, Artur Rodrigues & Manuel J. Rocha Armada. (2007) The Optimal Timing for the Construction of an Airport. SSRN Electronic Journal.
Crossref
Amadou Roufaï Moustapha. (2021) Value at Risk (VAR): An Application to Air Traffic Forecast. SSRN Electronic Journal.
Crossref
Zhengli Wang & Stefanos Zenios. (2020) New Venture Creation: A Drift-Variance Diffusion Control Model. SSRN Electronic Journal.
Crossref
Mike Mingcheng Wei, Susan Xu & Tao Yao. (2018) Strategic Outsourcing Contract Participation and Selection under Cost Uncertainty. SSRN Electronic Journal.
Crossref
Bernd Heinrich, Marcel Philipp MMller, Sebastian Sttckl & Steffen Zimmermann. (2015) Towards a Well-Founded Valuation of Managerial Flexibilities in IT Investment Projects - A Multidisciplinary Literature Review. SSRN Electronic Journal.
Crossref
Pedro Miguel Pimentel, José António de Azevedo Pereira & Gualter Couto. (2010) High Speed Rail Transport Valuation. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.