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...
| Main Authors: | , |
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2013
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| _version_ | 1797034459495661568 |
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| author | , AHMAD FAQIH , Dr. Abdurakhman, S.Si, M.Si. |
| author_facet | , AHMAD FAQIH , Dr. Abdurakhman, S.Si, M.Si. |
| author_sort | , AHMAD FAQIH |
| collection | UGM |
| description | 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 payoff. Then the
value contributed by grups are evaluated. For evaluating the value contributed by
terminal node, two different cases are considered. The value contributed by
terminal node is the sum of the value contributed by grups. The value of a floating
strike lookback call option is the sum of the values contributed by all the terminal
nodes. |
| first_indexed | 2024-03-13T23:12:04Z |
| format | Thesis |
| id | oai:generic.eprints.org:125883 |
| institution | Universiti Gadjah Mada |
| last_indexed | 2024-03-13T23:12:04Z |
| publishDate | 2013 |
| publisher | [Yogyakarta] : Universitas Gadjah Mada |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1258832016-03-04T08:21:32Z https://repository.ugm.ac.id/125883/ PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK EROPA MENGGUNAKAN MODEL POHON BINOMIAL , AHMAD FAQIH , Dr. Abdurakhman, S.Si, M.Si. ETD 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 payoff. Then the value contributed by grups are evaluated. For evaluating the value contributed by terminal node, two different cases are considered. The value contributed by terminal node is the sum of the value contributed by grups. The value of a floating strike lookback call option is the sum of the values contributed by all the terminal nodes. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , AHMAD FAQIH and , Dr. Abdurakhman, S.Si, M.Si. (2013) PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK EROPA MENGGUNAKAN MODEL POHON BINOMIAL. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=66064 |
| spellingShingle | ETD , AHMAD FAQIH , Dr. Abdurakhman, S.Si, M.Si. PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title | PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK
EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title_full | PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK
EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title_fullStr | PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK
EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title_full_unstemmed | PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK
EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title_short | PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK
EROPA MENGGUNAKAN MODEL POHON BINOMIAL |
| title_sort | penentuan harga opsi call floating strike lookback eropa menggunakan model pohon binomial |
| topic | ETD |
| work_keys_str_mv | AT ahmadfaqih penentuanhargaopsicallfloatingstrikelookbackeropamenggunakanmodelpohonbinomial AT drabdurakhmanssimsi penentuanhargaopsicallfloatingstrikelookbackeropamenggunakanmodelpohonbinomial |