Major Papers

Abstract

In this paper, we discuss the stock price model as Geometric Brownian motion.

After that, we obtain a closed form solution to the model using It^o's Lemma.

Moreover, we use this solution to derive the Black Scholes formula.

Primary Advisor

Ilya Shapiro

Program Reader

Mehdi Monfared

Degree Name

Master of Science

Department

Mathematics and Statistics

Document Type

Major Research Paper

Convocation Date

2018

Share

COinS