The greeks of indonesian call option
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CitationGunardi. ve Wide Vander, J. A. M. (2009). The greeks of indonesian call option. Maltepe Üniversitesi. s. 167.
Indonesian Stock Exchange has started to trade option at September 9th, 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 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 will derive analytic approximations for the Greeks of the option.
SourceInternational Conference of Mathematical Sciences
- Makale Koleksiyonu 
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