The Analytical Solutions Of European Options On Shares Pricing Models  

Oleh:

Andriansyah

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Akuntansi dan Keuangan vol. 6 no. 2 (Nov. 2004), page 77-89.
Topik: Options; Options Valuations; Analytical Solutions; Black-Scholes Formula; Opsi; Penilaian Opsi Saham; Solusi Analitis; Rumus Black-Scholes
Fulltext: Andriansyah.pdf (223.14KB)

Isi artikel

The Black-Scholes options formula is the breakthrough in valuating options prices. However, the formula is heavily based on several assumptions that are not realistic in practice. The extensions of the assumptions are needed to make options pricing model more realistic. This paper has reviewed the relaxation of the formula to European options on shares with the focus on its analytical solutions. The assumptions that are relaxed are non-dividends assumption, constant interest rate, constant volatility, and continuous time.

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