Valuation Of Reload Call Option With Binomial Tree
Along with the rapid growth of investment and finance, the investors compete with each other to find a way to maximize pro_ts and minimize losses. In option trading, one of the ways used is adding a reload feature on the option. Reload option is option thatgive the right to its holder to exercise th...
| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
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2016
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/136810/1/makalah%20AMC.pdf |
| _version_ | 1826049565664477184 |
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| author | Yunita Wulan Sari, Yunita Wulan Sari Gunardi, Gunardi |
| author_facet | Yunita Wulan Sari, Yunita Wulan Sari Gunardi, Gunardi |
| author_sort | Yunita Wulan Sari, Yunita Wulan Sari |
| collection | UGM |
| description | Along with the rapid growth of investment and finance, the investors compete with each other to find a way to maximize pro_ts and minimize losses. In option trading, one of the ways used is adding a reload feature on the option. Reload option is option thatgive the right to its holder to exercise the option, then renew it at some time prior to maturity. In this research, we study how to determine the pricing of reload call option with the Black-Scholes stock price model and the binomial tree, then applied to the stock of Telekomonikasi Indonesia (TLKM.JK). From this study, we obtain the valuation of reload call option which is simple and easy in interpretation. In addition we can also conclude that if the time to maturity is longer, the price of reload call option is more expensive and if the exercise price is higher, the price of reload call option is cheaper.
Keywords: option, reload option, reload call option, Black-Scholes stock price model. |
| first_indexed | 2024-03-13T23:48:34Z |
| format | Conference or Workshop Item |
| id | oai:generic.eprints.org:136810 |
| institution | Universiti Gadjah Mada |
| language | English |
| last_indexed | 2024-03-13T23:48:34Z |
| publishDate | 2016 |
| record_format | dspace |
| spelling | oai:generic.eprints.org:1368102016-09-28T06:54:41Z https://repository.ugm.ac.id/136810/ Valuation Of Reload Call Option With Binomial Tree Yunita Wulan Sari, Yunita Wulan Sari Gunardi, Gunardi Applied Statistics Along with the rapid growth of investment and finance, the investors compete with each other to find a way to maximize pro_ts and minimize losses. In option trading, one of the ways used is adding a reload feature on the option. Reload option is option thatgive the right to its holder to exercise the option, then renew it at some time prior to maturity. In this research, we study how to determine the pricing of reload call option with the Black-Scholes stock price model and the binomial tree, then applied to the stock of Telekomonikasi Indonesia (TLKM.JK). From this study, we obtain the valuation of reload call option which is simple and easy in interpretation. In addition we can also conclude that if the time to maturity is longer, the price of reload call option is more expensive and if the exercise price is higher, the price of reload call option is cheaper. Keywords: option, reload option, reload call option, Black-Scholes stock price model. 2016-07-29 Conference or Workshop Item NonPeerReviewed application/pdf en https://repository.ugm.ac.id/136810/1/makalah%20AMC.pdf Yunita Wulan Sari, Yunita Wulan Sari and Gunardi, Gunardi (2016) Valuation Of Reload Call Option With Binomial Tree. In: The Asian Mathematical Conference (AMC) 2016 Bali. |
| spellingShingle | Applied Statistics Yunita Wulan Sari, Yunita Wulan Sari Gunardi, Gunardi Valuation Of Reload Call Option With Binomial Tree |
| title | Valuation Of Reload Call Option With Binomial Tree |
| title_full | Valuation Of Reload Call Option With Binomial Tree |
| title_fullStr | Valuation Of Reload Call Option With Binomial Tree |
| title_full_unstemmed | Valuation Of Reload Call Option With Binomial Tree |
| title_short | Valuation Of Reload Call Option With Binomial Tree |
| title_sort | valuation of reload call option with binomial tree |
| topic | Applied Statistics |
| url | https://repository.ugm.ac.id/136810/1/makalah%20AMC.pdf |
| work_keys_str_mv | AT yunitawulansariyunitawulansari valuationofreloadcalloptionwithbinomialtree AT gunardigunardi valuationofreloadcalloptionwithbinomialtree |