The greeks of indonesian call option
Küçük Resim Yok
Tarih
2009
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Maltepe Üniversitesi
Erişim Hakkı
CC0 1.0 Universal
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Kaynak
International Conference of Mathematical Sciences
WoS Q Değeri
Scopus Q Değeri
Cilt
Sayı
Künye
Gunardi. ve Wide Vander, J. A. M. (2009). The greeks of indonesian call option. Maltepe Üniversitesi. s. 167.
