People Innovation Excellence

ANALYSIS AND DESIGN OF OPTION PRICING WEB APPLICATION USING BLACK SCHOLES MERTON MODEL WHEN CHANGES OF ASSET PRICES ARE RESTRICTED

ANALYSIS AND DESIGN OF OPTION PRICING WEB APPLICATION USING BLACK SCHOLES MERTON MODEL WHEN CHANGES OF ASSET PRICES ARE RESTRICTED

By : Christine, Ro’fah Nur Rachmawati, dan Widodo Budiharto

Option is a contract in the form of a right granted to the holder to buy or sell an asset at a price K at time T that has been determined. Black Scholes Merton is one of the option price calculation models commonly used where changes in asset prices are assumed to be not restricted, so it will lead to inaccuracies in the calculation of the option price. Therefore, in this final project, we will use the Black Scholes Merton model to calculate the call option price when the changes of price assets are restricted, the restriction of asset prices will directly influence the price of the options that will be traded. Besides, numerical illustration in table and graphic will be provided to compare how substantial the restriction of asset prices changes in option pricing. To help the process of analysis calculation, we will create a software in the form of web application that aims to calculate the option price, so the calculation process can be performed more efficiently, thorough, easy, and practical (C)

Keywords : Call option, Black Scholes Merton, Changes of asset prices are restricted, Web application


Published at : Updated

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