PENENTUAN HARGA OPSI TIPE BERMUDA MELALUI METODE POHON BINOMIAL (BERMUDAN STYLE OPTION PRICING THROUGH BINOMIAL TREE METHOD)

FAHRIA, IZMA, Abdurakhman

2016 | Disertasi | FMIPA

Bermudan option is a type of nonstandard American option that possible to make an early exercise during the life of the option. The option restricts the early exercise facility to a finite number that have been specified in contract. Bermudan option has a charasteristic in between American option and European option. Its value is never greater than American option and it is also never less than the value of standard European option. In this work, call and put Bermudan options are calculated through binomial tree method. Binomial tree method assumes a stock price follows the binomial multiplicative process during a discrete time period. Bermudan option price will be compared with the European option price and American option price with no dividend underlying asset. The results of case studies show that the price of Bermudan call option using binomial tree method produces an equal prices with European call option and American call option. Bermudan put option price is in the middle of European put option price and American put option price.

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