Probability density of geometric Brownian motion at a fixed time
created by:
Thijs van den Berg
(http://www.sitmo.com)
This equation gives the probability density function of an underlying S at some future time t. The underlying behavior is geometric Brownian motion, has a present value S0, a yield (drift) of \mu, and volatility \sigma.
The probability density function is has a lognormal distribution with mean \mu.
List of symbols
Probability of x
The value of the geometric Brownian motion process at time t
