/* Geometric Brownian Motion */
new; cls;
mu=0.1;
sig=0.3;
S0=50;
T=1;
n=252;
S=S0|gbm(mu,sig,S0,T,n);

library pgraph;
graphset;
xy(seqa(0,T/n,n+1),S);



proc gbm(mu,sig,S0,T,n);
   local delt,Z,S,i;
   delt=T/n;
   Z=rndn(n,1);
   S=zeros(n,1);
   S[1]=S0*exp((mu-1/2*sig^2)*delt+sig*sqrt(delt)*Z[1]);
   i=1;
   do while i<=n-1;
      S[i+1]=S[i]*exp((mu-1/2*sig^2)*delt+sig*sqrt(delt)*Z[i+1]);
      i=i+1;
   endo;
   retp(S);
endp;