NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY

Subanar ., Suryo Guritno, Zanzawi S., Abdurakhman .

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


Keywords


Lognormal, Brownian, NAE Capped.

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DOI: https://doi.org/10.22342/jims.13.2.69.215-221

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Journal of the Indonesian Mathematical Society
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