VALUASI COMPOUND OPTION PUT ON CALL TIPE EROPA PADA DATA SAHAM FACEBOOK

WIDIANUGRAHA, MUHAMMAD SUNU (2015) VALUASI COMPOUND OPTION PUT ON CALL TIPE EROPA PADA DATA SAHAM FACEBOOK. Undergraduate thesis, FSM Universitas Diponegoro.

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Abstract

Option is a contract that gives the right to individuals to buy (call options) or sell (put options) the underlying asset by a certain price for a certain date. One type of options that are traded is compound options. Compound option model is introduced by Robert Geske in 1979. Compound option is option on option. Compound option put on a call is put option where the underlying asset are call option. An empirical study using compound option put on a call stocks of Facebook. It has strike price compound option US$ 77.5 and strike price call option US$ 80, with the first exercise date on September 26, 2014 and the second exercise date on October 31, 2014. The theoritical price of compound option put on call on stocks of Facebook is US$ 75.65048. Keyword : Compound option, put on a call, option stocks of Facebook, Black-Scholes model, theoritical price.

Item Type:Thesis (Undergraduate)
Subjects:H Social Sciences > HA Statistics
Divisions:Faculty of Science and Mathematics > Department of Statistics
ID Code:47167
Deposited By:Mr Hasbi Yasin
Deposited On:22 Dec 2015 15:09
Last Modified:22 Dec 2015 15:09

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