PENENTUAN HARGA OPSI BELI TIPE EROPA DENGAN RETURN ASET BERDISTRIBUSI NORMAL TRUNCATED
| Main Authors: | , Rahmad Prajono, , Dr. Abdurakhman, S.Si, M.Si. |
|---|---|
| Format: | Thesis NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2013
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/126138/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=66334 |
Daftar Isi:
- In stock and options trading, exchanges often imposed restrictions on the daily price changes of an asset. As a result, the range of asset returns (in logarithmic form) are no longer in the interval (- �, �), but truncated at the bottom and top. Consequently returns no longer normally distributed, but normally truncated distribution. Therefore, in this thesis will be discussed regarding the European option pricing using Normal Truncated Distribution on asset returns. Furthermore, we compare the option price obtained by the normal truncated distribution approach and the Black-Scholes model with option�s market price. As a result, option pricing using normal truncated distribution closer to the market price than the Black-Scholes model.. So we can conclude empirically, the theory of option pricing models with normal truncated distribution approach suitable for the option that has restrictions on its stock price changes.