PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK EROPA MENGGUNAKAN MODEL POHON BINOMIAL
This thesis explains about pricing European floating strike lookback call options using a binomial tree model with combinatorial approach. The basic idea is to divide the price paths reaching node terminal into groups by their extreme stock prices. The price paths in the same group have the same pay...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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