SUTARNO, YULIA AGNIS (2014) VALUASI COMPOUND OPTION PUT ON PUT TIPE EROPA. Undergraduate thesis, FSM Undip.
Options are one of the form of investment which a contract that gives the right (not obligation) to the option holder to buy (call options) or sell (put options) the underlying asset by a certain date for a certain price. Option price is a reflection of the intrinsic value of the option and any additional amount over intrinsic value. One type of options that are traded is compound options. Compound option model is introduced by Robert Geske in 1979. Compound options are options on options. Compound option put on a put is put option where the underlying assets are another put option. The compound option put on put will be exercised on the first exercise date only if the value of the put option on that date is less than the first stike price. An empirical study using compound option put on a put stocks of Apple Inc which is strike price compound option US$ 560, strike price put option US$ 585, with the first exercise date on March 28, 2014 and the second exercise date on May 17, 2014. The theoritical price of compound option put on put on stocks of Apple Inc is US$ 501.4566. Keyword : Compound option, put on a put, option stocks of Apple, Black-Scholes model, theoritical price.
|Item Type:||Thesis (Undergraduate)|
|Subjects:||H Social Sciences > HA Statistics|
|Divisions:||Faculty of Science and Mathematics > Department of Statistics|
|Deposited By:||Mr Hasbi Yasin|
|Deposited On:||11 Sep 2014 10:28|
|Last Modified:||11 Sep 2014 10:28|
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