ACADSTAFF UGM
| Title | : | Pricing of Erupoean Options under BS-BHM-Updated Model and Its Properties |
| Author | : |
MUTIJAH (1) Prof. Drs. Suryo Guritno, M.Stats., Ph.D. (2) Dr. Drs. Gunardi, M.Si. (3) |
| Date | : | 11 2016 |
| Keyword | : | european call option, black scholes model, BS-BHM model, gauss ian integral, put-call parity, greek european call option, black scholes model, BS-BHM model, gauss ian integral, put-call parity, greek |
| Abstract | : | A European call option price formula under the BS-BHM-Updated model is studied in this paper. BS-BHM- Updated model is a BS-BHM model improved in applying Gaussian integral. The formula of European call and put options price is given in this paper too. Greeks and a good property of put-call parity for the formula of European call option price are found. In this paper are also given the numerical results of European call option price and the put-call parity relationship. Numerical results of European call option price under BS-BHM-Updated model, Black Scholes model, and BS-BHM model are presented. |
| Group of Knowledge | : | Statistik |
| Level | : | Internasional |
| Status | : |
Published
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| 1 |
196511281991031004-1563-Publikasi.pdf
Document Type : [PAK] Informasi Dewan Redaksi/Editor/Steering Committee
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| 2 |
196511281991031004-1563-Publikasi.pdf
Document Type : [PAK] Dokumen Susunan Panitia
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| 3 |
196511281991031004-1563-Publikasi.pdf
Document Type :
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| 4 |
Pricing of Erupoean Options under BS-BHM-Updated Model and Its Properties.pdf
Document Type : Cek Similarity
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| 5 |
full.pdf
Document Type : [PAK] Full Dokumen
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