文章基本信息

标题：EUROPEAN CALL OPTION APPLICATION IN INCOMPLETE MARKET-ANALYSIS AND DEVELOPMENT
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作者：Rachmawati, Rofah Nur ; Sufon ; Budiharto, Widodo 等
期刊名称：Journal of Computer Science
印刷版ISSN：1549-3636
出版年度：2014
卷号：10
期号：1
页码：157-168
DOI：10.3844/jcssp.2014.157.168
出版社：Science Publications
摘要：Option 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 market using incomplete market concept where financial asset, that is traded, is affected by arbitrage risk so it is possible for market participants to take return. European call option is defined by Esscher Transform method and option price formula is determined by changing its form to linear approximation. The result from this study is option price formula with linear approximation has some privileges. That is easy to be applied in computation process, more representatives in getting risk indication in the financial market and can predict option price more accurately. Linear approximation formula is applied in the program that can be used by option writer or holder and is equipped with export data feature that can be possible for further research development.
关键词：European Call Option; Linear Approximation; Incomplete Market