The greeks of indonesian call option

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dc.contributor.authorGunardi
dc.contributor.authorVander Weide, J. A. M.
dc.date.accessioned2024-07-12T20:50:21Z
dc.date.available2024-07-12T20:50:21Z
dc.date.issued2009en_US
dc.departmentFakülteler, İnsan ve Toplum Bilimleri Fakültesi, Matematik Bölümüen_US
dc.description.abstractIndonesian 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.en_US
dc.identifier.citationGunardi. ve Wide Vander, J. A. M. (2009). The greeks of indonesian call option. Maltepe Üniversitesi. s. 167.en_US
dc.identifier.endpage168en_US
dc.identifier.isbn9.78605E+12
dc.identifier.startpage167en_US
dc.identifier.urihttps://hdl.handle.net/20.500.12415/2324
dc.language.isoenen_US
dc.publisherMaltepe Üniversitesien_US
dc.relation.ispartofInternational Conference of Mathematical Sciencesen_US
dc.relation.publicationcategoryUluslararası Konferans Öğesi - Başka Kurum Yazarıen_US
dc.rightsCC0 1.0 Universal*
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rights.urihttp://creativecommons.org/publicdomain/zero/1.0/*
dc.snmzKY07689
dc.titleThe greeks of indonesian call optionen_US
dc.typeConference Object
dspace.entity.typePublication

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