Volatility of Option Pricing Model with Brown Geometric Motion Method
Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 3)Publication Date: 2017-03-05
Authors : Mika Debora Br Barus; Hevlie Winda Nazry S; Sarina;
Page : 5-6
Keywords : Geometric Brownian Motion; Option Price; Personality moment;
Abstract
Basically, the option is defined as a contract between two parties (Writer and holder) in which the writer gives the right but not the obligation to holder to buy (call option) or sell (put option) a stock by the agreed price in the future. This will obviously lead loss for the writer. To avoid this, the writer must give the price of the option. Many researchers have discussed the nature of the moment on the model option pricing method Brownian motion. But the method of Brownian motion has weaknesses in modeling the movement of the price of options. Therefore, in the paper will discuss how to determine the nature of the moment on the option pricing model with the using Geometric Brownian Motion.
Other Latest Articles
- The Effect of Visual Media (Video) Based Process Evaluation of Result of Volley Ball Smash for Student of Sport Education and Recreation Fik State University of Medan (Unimed) North Sumatera Indonesia
- 探讨倍他乐克、胺碘酮联合治疗CHD伴快速性心律失常的价值
- 分析铝碳酸镁、艾司奥美拉唑联用对胃溃疡患者的影响
- 自身免疫性疾病中的铁蛋白抗体及可能的产生机制
- The Importance of the Environmental Awareness in Obtaining Sustainable Development Study Area (Hilla City)
Last modified: 2021-06-30 18:07:59