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Muhammad Sunu Widianugraha
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VALUASI COMPOUND OPTION PUT ON CALL TIPE EROPA PADA DATA SAHAM FACEBOOK Muhammad Sunu Widianugraha; Di Asih I Maruddani; Diah Safitri
Jurnal Gaussian Vol 4, No 2 (2015): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (554.557 KB) | DOI: 10.14710/j.gauss.v4i2.8583

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. Keywords: Compound option, put on a call, option stocks of Facebook, Black-Scholes model, theoritical price.
Co-Authors Di Asih I Maruddani Diah Safitri