International Journal of Science and Research (IJSR)

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

ISSN: 2319-7064


Downloads: 118

Case Studies | Mathematics | Indonesia | Volume 6 Issue 3, March 2017


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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How to Cite this Article?

Meilisa Malik, Siti Suaibah Nasution, Tantri Octora D.S.P, "Simple Geometric Brownian Motion Based Pricing Model", International Journal of Science and Research (IJSR), Volume 6 Issue 3, March 2017, pp. 1496-1497, https://www.ijsr.net/get_abstract.php?paper_id=12031710

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