PRICING CAPPED OPTION AND VULNERABLE OPTION
Capped option and vulnerable option is types of barrier option. This thesis discussed about capped call American option and vulnerable call European option. Capped option is a type of barrier knock-in and vulnerable option is a type of knock-out. Pricing capped option using modified binomial method...
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| Format: | Theses |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/33570 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Capped option and vulnerable option is types of barrier option. This thesis discussed about capped call American option and vulnerable call European option. Capped option is a type of barrier knock-in and vulnerable option is a type of knock-out. Pricing capped option using modified binomial method (Boyle-Lau) and trinomial Kamrad-Ritchken method, while pricing vulnerable option using lattice method. This vulnerable option have two stock price in pricing option. Value of capped call American option is lower than standard call American option and value of vulnerable European option is lower than standard call European option. |
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