POWER BARRIER OPTION VALUATION FOR EUROPEAN AND AMERICAN TYPE OF OPTION

• Main Author: CHRISTI PASKA CAHYANI (NIM : 20812005); Pembimbing : Dr. Novriana Sumarti , AGATHA
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19823
• Institution: Institut Teknologi Bandung

Option is a financial instrument which can help the owners of stock in order to reduce risks to its assets. Barrier option is the one type of option, this option is <br /> <br /> <br /> <br /> path-dependent. The features of the barrier option can be applied to any type of option. In this project, barrier option will be applied to power option and it will produce power barrier option. In other words, power barrier option is an extension of vanilla barrier option, where the price of underlying assets lifted at a constant positive power. European power barrier option valuation in this project is done under the concept of the Black-Scholes standard, and under the assumption of risk-neutrality, constant volatility, and no dividends. American power barrier option valuation in this project is done with the binomial method. Each valuation results indicate that the power barrier option prices are always cheaper than the price of the power option.