Penentuan Harga Opsi Lookback Dengan Persamaan Differensial Parsial Black Scholes Beserta Syarat Loncat  

Oleh:

Liem Chin

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: SIGMA: Jurnal Sains dan teknologi vol. 9 no. 2 (Jul. 2006), page 151-158.
Topik: HARGA; lookback option; partial differential equatio; jump condition; crank nicolson method

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Perpustakaan Pusat (Semanggi) Nomor Panggil: SS25.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A lookback option is an option whose payoff function depends on the maximum or minimum of the underlying asset over some prescribed period like the european option, we can theoretically price this option in the black scholes environment. The maximum or minimum of the asset is measured discretely. The model for pricing a lookback option is a partial differential equation with jump condititon solved using the cranck nicolson numerical method. The lookback option tends to be more expensive than the european.

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