What makes you select a higher price option? Price-quality heuristics, cultures, and travel group compositions

2018 ◽  
Vol 21 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Ji Youn Jeong ◽  
John L. Crompton ◽  
Sunghyup Sean Hyun
Keyword(s):  
Option Price ◽  
Group Compositions ◽  
Price Option

scholarly journals PENENTUAN HARGA OPSI BELI ATAS SAHAM PT. ANTAM (PERSERO) MENGGUNAKAN MODEL BINOMIAL FUZZY

2018 ◽  
Vol 19 (1) ◽  
pp. 8-24
Author(s):  
Agung Prabowo ◽  
Zulfatul Mukarromah ◽  
Lisnawati Lisnawati ◽  
Pramono Sidi
Keyword(s):  
Stock Price ◽  
Market Price ◽  
Option Price ◽  
Risk Level ◽  
Binomial Model ◽  
Purchase Price ◽  
Option Prices ◽  
Movement Data ◽  
Curve Representation ◽  
Price Option

Option is a financial instrument where price depends on the underlying stock price. The pricing of options, both selling options and purchase options, may use the CRR (Cox-Ross-Rubinstein) binomial model. Only two possible parameters were used that is u if the stock price rises and d when the stock price down. One of the elements that determine option prices is volatility. In the binomial model CRR volatility is constant. In fact, the financial market price of stocks fluctuates so that volatility also fluctuates. This article discusses volatility of fluctuating stock price movements by modeling it using binomial fuzzy with triangular curve representation. The analysis is carried out in relation to the existence of three interpretations of the triangular curve representation resulting in different degrees of membership. In addition to volatility, this study added the size or risk level ρ. As an illustration, this study used stock price movement data from PT. Antam (Persero) from August 2015 until July 2016. The results of one period obtained from the purchase price option for August 2016 with the largest volatility, medium and smallest respectively were Rp.143,43, Rp.95,49, and Rp.79,00. There was calculated at the risk level of  ρ = 90%. The degree of membership for each option price varies depending on the interpretation of the triangle curve representation.   Opsi merupakan instrumen keuangan yang harganya tergantung pada harga saham yang mendasarinya. Penentuan harga opsi, baik opsi jual maupun opsi beli dapat menggunakan model binomial CRR (Cox-Ross-Rubinstein). Dalam model ini hanya dimungkinkan adanya dua parameter yaitu u apabila harga saham naik dan d pada saat harga saham turun. Salah satu unsur yang menentukan harga opsi adalah volatilitas. Dalam model binomial CRR digunakan volatilitas yang bersifat konstan. Padahal, pada pasar keuangan pergerakan harga saham mengalami fluktuasi sehingga volatilitas juga menjadi fluktuatif. Artikel ini membahas volatilitas pergerakan harga saham yang fluktuatif dengan memodelkannya menggunakan binomial fuzzy dengan representasi kurva segitiga. Analisis dilakukan terkait dengan adanya tiga interpretasi terhadap representasi kurva segitiga tersebut yang menghasilkan derajat keanggotaan yang berbeda. Selain volatilitas, dalam penelitian ini ditambahkan ukuran atau tingkat risiko ρ. Sebagai ilustrasi, digunakan data pergerakan harga saham PT. Antam (Persero) dari Agustus 2015 hingga Juli 2016. Hasil penelitian dengan perhitungan satu periode diperoleh hasil harga opsi beli untuk bulan Agustus 2016 dengan volatilitas terbesar, menengah, dan terkecil masing-masing adalah Rp.143,43, Rp.95,49, dan Rp.79,00 yang dihitung pada tingkat risiko ρ = 90%. Derajat keanggotaan untuk masing-masing harga opsi berbeda-beda tergantung pada interpretasi dari representasi kurva segitiga.

scholarly journals Governance Effectiveness: The Interaction of Ethno-Racial Diversity and Social Capital

2021 ◽  
pp. 089976402097769
Author(s):  
Christopher Fredette ◽  
Ruth Sessler Bernstein
Keyword(s):  
Social Capital ◽  
Survey Design ◽  
Secondary Analysis ◽  
Racial Diversity ◽  
Complex Activity ◽  
Board Diversity ◽  
The Social ◽  
Governance Effectiveness ◽  
Group Compositions ◽  
The Relationship

This research examines the relationship among Board Diversity, Social Capital, and Governance Effectiveness by asking, “does board ethno-racial diversity moderate the relationship between Social Capital and Governance Effectiveness, and if so, how?” Exploring the direct and interacting effects of demographic diversity and Social Capital, and their relation to governing-group effectiveness using a two-sample field survey design, we illustrate whether heterogeneous or homogeneous group compositions amplify or attenuate Governance Effectiveness, and to what degree. Primary analyses find no support for Board Diversity moderating the Social Capital-Governance Effectiveness relationship, with secondary analysis revealing a more complex interaction for Governance Effectiveness, albeit inconsistently, across samples. Our investigation points to the value of social resources in understanding governance as an inherently socially complex activity or capability, predicated on truce or mutual agreement and shaped by the composition and connections of boards.

scholarly journals An Analytic Approach for Pricing American Options with Regime Switching

2021 ◽  
Vol 14 (5) ◽  
pp. 188
Author(s):  
Leunglung Chan ◽  
Song-Ping Zhu
Keyword(s):  
Regime Switching ◽  
American Options ◽  
Option Price ◽  
Switching Model ◽  
Homotopy Analysis ◽  
State Regime ◽  
Markov Modulated ◽  
Appreciation Rate ◽  
The Interest Rate ◽  
Hidden States

This paper investigates the American option price in a two-state regime-switching model. The dynamics of underlying are driven by a Markov-modulated Geometric Wiener process. That means the interest rate, the appreciation rate, and the volatility of underlying rely on hidden states of the economy which can be interpreted in terms of Markov chains. By means of the homotopy analysis method, an explicit formula for pricing two-state regime-switching American options is presented.

scholarly journals OPTIONS WRITTEN ON STOCKS WITH KNOWN DIVIDENDS

2004 ◽  
Vol 07 (07) ◽  
pp. 901-907
Author(s):  
ERIK EKSTRÖM ◽  
JOHAN TYSK
Keyword(s):  
Stock Price ◽  
Option Price ◽  
Option Prices ◽  
Strike Price ◽  
Call Options ◽  
Alternative Approach ◽  
Black Scholes ◽  
Market Practice ◽  
The Difference ◽  
Risk Free Rate

There are two common methods for pricing European call options on a stock with known dividends. The market practice is to use the Black–Scholes formula with the stock price reduced by the present value of the dividends. An alternative approach is to increase the strike price with the dividends compounded to expiry at the risk-free rate. These methods correspond to different stock price models and thus in general give different option prices. In the present paper we generalize these methods to time- and level-dependent volatilities and to arbitrary contract functions. We show, for convex contract functions and under very general conditions on the volatility, that the method which is market practice gives the lower option price. For call options and some other common contracts we find bounds for the difference between the two prices in the case of constant volatility.

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