Business, Management and Accounting
3 years ago

Bermudan Options Pricing Method Equalizes European and American Options Values

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PENENTUAN HARGA OPSI TIPE BERMUDA MELALUIMETODE POHON BINOMIAL(BERMUDAN STYLE OPTION PRICING THROUGHBINOMIAL TREE METHOD)
Izma Fahria, Abdurakhman Abdurakhman

Paper Summary

Bermudan options are a type of American option that allows early exercise at specified times. They are priced using the binomial tree method, which models stock price changes over time. The study found that Bermudan call option prices match European and American call option prices, while Bermudan put option prices fall between European and American put option prices.