2 articles for “European Call Option”

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Research ArticleOpen accessPhrase in the titleEUROPEAN CALL OPTION APPLICATION IN INCOMPLETE MARKET-ANALYSIS AND DEVELOPMENTRo’fah Nur Rachmawati, Sufon, Widodo BudihartoOption is derivative instrument that have investment benefit and provide return for the writer and the holder. Option price determination is affected by risk factor. However in Black-Scholes model option price is determined without arbitrage risk affection so it is impossible to take return. In this study, option price formula is constructed to be more represent the condition of financial … …Journal of Computer Science, Vol. 10, Issue 1 · 12 Nov 2013 · 7,174 accessesView PDF Cite

Research ArticleOpen accessIn the abstractOn the Valuation of Currency Options in Stressed MarketsAbdulnasser Hatemi-J, Youssef El-KhatibThe current article handles the valuation of currency options in the market that is suffering from a financial crisis. The standard formulas for this purpose do not perform accurately. European foreign currency exchange options for both the call and the put versions are dealt with. It is assumed that the value of the underlying asset is a stochastic process that … …Journal of Mathematics and Statistics, Vol. 17, Issue 1 · 24 Dec 2021 · 6,499 accessesView PDF Cite