Journal of the Indonesian Mathematical Society
Volume 13 Number 2 (October 2007)

NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY

Subanar . (Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.)
Suryo Guritno (Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.)
Zanzawi S. (Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.)
Abdurakhman . (Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.)

Article Info

Publish Date
03 Jun 2012

Abstract

The objective of this paper is to present a methodology for deriving Black Scholes formulae via a simple lognormal distribution approach and introduce European capped non automatically exercise (NAE) call option pricing theory. DOI : http://dx.doi.org/10.22342/jims.13.2.69.215-221

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Journal Info
Journal of the Indonesian Mathematical Society
Website

Abbrev

JIMS

Publisher

Indonesian Mathematical Society

Subject

Mathematics

Description

Journal of the Indonesian Mathematical Society disseminates new research results in all areas of mathematics and their applications. Besides research articles, the journal also receives survey papers that stimulate research in mathematics and their ...