Simple Geometric Brownian Motion Based Pricing Model
Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 3)Publication Date: 2017-03-05
Authors : Meilisa Malik; Siti Suaibah Nasution; Tantri Octora D.S.P;
Page : 1496-1497
Keywords : Geometric Brownian Motion; Option Price; Daily Return;
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
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