International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Call for Papers | Open Access | Double Blind Reviewed

ISSN: 2319-7064


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Review Papers | Mathematics | Indonesia | Volume 6 Issue 3, March 2017


Volatility of Option Pricing Model with Brown Geometric Motion Method

Mika Debora Br Barus | Hevlie Winda Nazry S | Sarina [2]


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.


Keywords: Geometric Brownian Motion, Option Price, Personality moment


Edition: Volume 6 Issue 3, March 2017,


Pages: 5 - 6


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How to Cite this Article?

Mika Debora Br Barus, Hevlie Winda Nazry S, Sarina, "Volatility of Option Pricing Model with Brown Geometric Motion Method", International Journal of Science and Research (IJSR), Volume 6 Issue 3, March 2017, pp. 5-6, https://www.ijsr.net/get_abstract.php?paper_id=21021704

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