Geometric Brownian Motion, Option Pricing, and Simulation: Some Spreadsheet-Based Exercises in Financial Modeling
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, that underlies the derivation of the Black-Scholes option pricing model. Gui...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Bond University
2012-11-01
|
| Series: | Spreadsheets in Education |
| Subjects: | |
| Online Access: | http://epublications.bond.edu.au/ejsie/vol5/iss3/4 |