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Case Studies | Mathematics | Indonesia | Volume 6 Issue 3, March 2017 | Popularity: 6.1 / 10

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Simple Geometric Brownian Motion Based Pricing Model

Meilisa Malik, Siti Suaibah Nasution, Tantri Octora D.S.P

Abstract: This paper presents some Excel-based simulation exercises that are suitable for use in financial modeling courses. Such exercises are based on a stochastic process of stock price movements, called geometric Brownian motion. Guidance is provided in assigning appropriate values of the drift parameter in the stochastic process for such exercises. Some further simulation

Keywords: Geometric Brownian Motion, Option Price, Daily Return

Edition: Volume 6 Issue 3, March 2017

Pages: 1496 - 1497

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