Suggested Quality-Assurance Practices for Monte Carlo Analysis of a Geometric Brownian Motion Process
This article suggests certain procedures that a valuation specialist can perform to test the results of a Monte Carlo analysis of a geometric Brownian motion process. First, this paper describes the Monte Carlo technique and the geometric Brownian motion process. Next, several examples are provided to show simulation results using different assumptions. Finally, this paper recommends certain procedures, calculations, and analyses that will help test the veracity of the model.