ACADSTAFF UGM
| Title | : | The greeks of indonesian call option |
| Author | : |
Dr. Drs. Gunardi, M.Si. (1) |
| Date | : | 18 2017 |
| Keyword | : | Barrier option,Black-Scholes model,Greeks,Indonesian call option Barrier option,Black-Scholes model,Greeks,Indonesian call option |
| Abstract | : | Indonesian stock exchange began selling option on September 9, 2004. The option can be considered as an American style barrier option with immediate (forced) exercise if the price hits or crosses the barrier before maturity. The payoff of the option is based on a weighted moving average (WMA) of the price of the underlying stock. The barrier is fixed at the strike price plus or minus a 10 percent. The option is automatically exercised when the underlying stock hits or crosses the barrier and the difference between strike and barrier is paid immediately. We will refer to type of this option as Indonesian option. To calculate price of Indonesian call option contracts, we have to model the WMA price. This is not easy. In this paper, we study the pricing of Indonesian call option when WMA is replaced by stock price in a Black-Scholes model. We derive the Greeks of the Indonesian call option also. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
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| 1 |
Pushpa Publishing House-EDITOR.pdf
Document Type : [PAK] Halaman Editorial
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| 2 |
Pushpa Publishing House-COVER.pdf
Document Type : [PAK] Halaman Cover
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| 3 |
MS101102111 (1).pdf
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| 4 |
Far East Journal of Mathematical Sciences-SJR.pdf
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| 5 |
Pushpa Publishing House-DAFTAR ISI.pdf
Document Type : [PAK] Daftar Isi
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| 6 |
Most Urgent # Paper no_ PPH-1611023-MS in the FJMS_ - gunardi@ugm_ac_id - Email Universitas Gadjah Mada.pdf
Document Type : [PAK] Bukti Korespondensi Penulis
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| 7 |
The greeks of indonesian call option (1).pdf
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