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Probability of the high of geometric Brownian motion

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created by: Thijs van den Berg (http://www.sitmo.com)
Probability of the high of geometric Brownian motion equation

Cumulative probability function of the high of an underlying between now and some future time T. The underlying behavior is geometric Brownian motion.

List of symbols

Probability of x
H High level
Initial value at t=0 of the Brownian moton
Drift term
Volatility

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