PENENTUAN HARGA OPSI CALL FLOATING STRIKE LOOKBACK EROPA MENGGUNAKAN MODEL POHON BINOMIAL

Abstract

This thesis explains about pricing European floating strike lookback call options using a binomial tree model with combinatorial approach. The basic idea is to divide the price paths reaching node terminal into groups by their extreme stock prices. The price paths in the same group have the same payoff. Then the value contributed by grups are evaluated. For evaluating the value contributed by terminal node, two different cases are considered. The value contributed by terminal node is the sum of the value contributed by grups. The value of a floating strike lookback call option is the sum of the values contributed by all the terminal nodes