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: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
McMaster University
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| Series: | Spreadsheets in Education |
| Online Access: | http://sie.scholasticahq.com/article/4598-geometric-brownian-motion-option-pricing-and-simulation-some-spreadsheet-based-exercises-in-financial-modeling.pdf |