Stock Pricing using Stochastic Differential Equations

• Main Author: HARTANTO (NIM : 10109022); Pembimbing : Jalina Widjaja, Ph.D; Yudi Soeharyadi, Ph.D, ADRIAN
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/17800
• Institution: Institut Teknologi Bandung

Stock is the unit value in a variety of financial instruments which refers to the ownership part of a company. In general stock price can be used to decide whether an investment is worth or not. To predict the changes in its price, a model based on the data of the stock price is made. The model has to represent the changes on stock overtime, thus it includes some main factors that affects the stock prices, but still <br /> <br /> <br /> <br /> <br /> <br /> <br /> easy to solve. The purpose of this thesis is to create a simple model that can give an idea to determine the stock price in the future. Some important things to learn is: <br /> <br /> <br /> <br /> <br /> <br /> <br /> brownian motion, the stochastic integral, Ito Formula, and Stochastic Differential Equations. In the final chapter of this thesis will be the movement of stock price and <br /> <br /> <br /> <br /> <br /> <br /> <br /> compared to the model that are made. The model is expected to provide an overview to determine the stock price in the future. This thesis is essentially a literature study <br /> <br /> <br /> <br /> <br /> <br /> <br /> to the movement of stock prices in the future.