NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY

Subanar .; Suryo Guritno; Zanzawi S.; Abdurakhman .

doi:10.22342/jims.13.2.69.215-221

Subanar . ⁽¹⁾ , Suryo Guritno ⁽²⁾ , Zanzawi S. ⁽³⁾ , Abdurakhman . ⁽⁴⁾

(1) Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia., Indonesia,

(2) Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.,

(3) Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia., Indonesia,

(4) Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia., Indonesia

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

Issue
Volume 13 Number 2 (October 2007)

Submitted
May 23, 2012

Accepted
June 3, 2012

Published
June 3, 2012

Keywords:

Lognormal, Brownian, NAE Capped.

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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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Authors

Subanar .

Department of Mathematics, Gadjah Mada University, Jogjakarta, Indonesia.

penulis@jims-a.org (Primary Contact)

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.

., S., Guritno, S., S., Z., & ., A. (2012). NON AUTOMATICALLY EXERCISED (NAE) EUROPEAN CAPPED CALL PRICING THEORY. Journal of the Indonesian Mathematical Society, 13(2), 215–221. https://doi.org/10.22342/jims.13.2.69.215-221