文章基本信息

标题：Geometric Brownian Motion, Option Pricing, and Simulation: Some Spreadsheet-Based Exercises in Financial Modeling
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作者：Brewer, Kevin D. ; Feng, Yi ; Kwan, Clarence C. Y. 等
期刊名称：Spreadsheets in Education
印刷版ISSN：1448-6156
出版年度：2012
卷号：5
期号：3
页码：4
出版社：Faculty of Information Technology, Bond University
摘要：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. Guidance is provided in assigning appropriate values of the drift parameter in the stochastic process for such exercises. Some further simulation exercises are also suggested. As the analytical underpinning of the materials involved is provided, this paper is expected to be of interest also to instructors and students of investment courses.
关键词：Stochastic process; geometric Brownian motion; Black-Scholes model; put-call parity; simulation