Abstract
<p class="Default"><em>Bermudan option is a type of option that has characteristics between American option and European option whose its value never exceeds the value of the American option and is never less than the European option. The objective of this research is to calculate Bermudan call option of John Keels Stock through the binomial tree method using statistics software of Matlab R2010a. </em><em>Assessment of Bermudan type option relates to discrete issues, in which the Bermudan type option has a certain number of times of early exercise specified in the option contract, where such times can only be made at some time prior to the option due date. Precise pricing for Bermudan type option can be obtained by discrete models such as the binomial tree method, a numerical method that is one of the most popular approaches for calculating option prices. This research uses time series data obtained from BNI Financial Update Corner, FEB UGM. The Bermudan call option price calculation will be compared with the calculation of European option pricing and American option price with underlying asset without dividend. The results show that the price of John Keels's Bermudan type call option using the binomial tree method yields the same value as American type call option and European type call option.</em><em></em></p><strong><em>Keywords:</em></strong><em> Bermudan Type Option, Binomial Tree Method, Matlab R2010a, Spss 20</em>
Highlights
Option is one of the financial derivative products are very popular give the right but not the obligation, to perform at or prior to maturity at a predetermined price
Bermudan option is a type of non-standard American option that has a number of limited time only on certain dates are allowed to exercise early, as has been stated in the contract
Contrary to the American option where feature early exercise can be used until maturity option, Bermudan can be run only on a number of discrete predetermined time
Summary
Option is one of the financial derivative products are very popular give the right but not the obligation, to perform at or prior to maturity at a predetermined price. Options become popular because of the price of the option offered on the market are relatively cheap compared to the price or value of the stock, so stock investors can invest with a smaller capital compared to investing directly in the stock price or the actual value. Options are many sells in the market generally is the American-type option on the grounds of flexibility that can be done before the implementation of the option period runs out or known by the feature early exercise. One type of option to allow exercise early is a Bermudan option. Bermudan option is a type of non-standard American option that has a number of limited time only on certain dates are allowed to exercise early, as has been stated in the contract. Contrary to the American option where feature early exercise can be used until maturity option, Bermudan can be run only on a number of discrete predetermined time
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