PRICING CAPPED OPTION AND VULNERABLE OPTION

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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Main Author: Lastrina, Maria
Format: Theses
Language:Indonesia
Subjects:
Matematika
Online Access:https://digilib.itb.ac.id/gdl/view/33570
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:33570
spelling id-itb.:335702019-01-24T16:19:22ZPRICING CAPPED OPTION AND VULNERABLE OPTION Lastrina, Maria Matematika Indonesia Theses Binomial Boyle-Lau method, trinomial Kamrad-Ritchken method, capped option and vulnerable option. INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/33570 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. text
institution Institut Teknologi Bandung
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
language Indonesia
topic Matematika
spellingShingle Matematika
Lastrina, Maria
PRICING CAPPED OPTION AND VULNERABLE OPTION
description 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.
format Theses
author Lastrina, Maria
author_facet Lastrina, Maria
author_sort Lastrina, Maria
title PRICING CAPPED OPTION AND VULNERABLE OPTION
title_short PRICING CAPPED OPTION AND VULNERABLE OPTION
title_full PRICING CAPPED OPTION AND VULNERABLE OPTION
title_fullStr PRICING CAPPED OPTION AND VULNERABLE OPTION
title_full_unstemmed PRICING CAPPED OPTION AND VULNERABLE OPTION
title_sort pricing capped option and vulnerable option
url https://digilib.itb.ac.id/gdl/view/33570
_version_ 1822924040500674560

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