Metode enhanced kuartinomial untuk aproksimasi numerik pada barrier option pricing tipe eropa

Akhyar, Anwar Ibrahim Musthofa (2017) Metode enhanced kuartinomial untuk aproksimasi numerik pada barrier option pricing tipe eropa. Undergraduate thesis, Universitas Islam Negeri Maulana Malik Ibrahim.

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Abstract

INDONESIA:

Barrier option pricing sering digunakan dalam jual beli saham karena harganya yang lebih murah dari harga saham lainnya. Metode enhanced kuartinomial adalah salah satu pengembangan metode untuk mencari nilai opsi secara numerik. Pergerakan harga saham dengan menggunakan metode enhanced kuartinomial ini menghasilkan empat kemungkinan perubahan harga saham dengan nilai peluang masing-masing yaitu P_1 = p^3, P_2 = 3p^2 q, P_3 = 3pq^2, dan P_4 = q^3.

Simulasi metode enhanced kuartinomial pada knock-out barrier option pricing dilakukan dengan memperhitungkan proporsi jarak antara level upper barrier dan level lower barrier terhadap specified (true) barrier untuk mencari nilai opsi baru pada knock-out barrier option pricing. Iterasi yang kecil dari nilai opsi call dan put untuk metode enhanced kuartinomial membuat metode enhanced kuartinomial lebih cepat konvergen dibandingkan metode standar kuartinomial. Penelitian ini dapat dikembangkan untuk mencari nilai opsi knock-down barrier option pricing secara kuartinomial.

ENGLISH:

Barrier option pricing is often used in buying and selling stocks because its price is cheaper than other stock prices. Enhanced quartinomial method is development method to find an option value of a stock numerically. Stock price movement with enhanced quartinomial method have four possibility of stock price with the value of each opportunity is P_1 = p^3, P_2 = 3p^2 q, P_3 = 3pq^2,and P_4 = q^3.

Simulation of enhanced quartinomial method in knock-out barrier option pricing is done by calculating proportion of distance between upper barrier level and lower barrier level with specified (true) barrier to find new option value in knock-out barrier option pricing. Small iteration in call and put option for enhanced quartinomial method make convergence of enhanced quartinomial method faster than standart quartinomial method. This research can be developed to find option value in knock-down barrier option pricing quartinomially.

Item Type: Thesis (Undergraduate)
Supervisor: Aziz, Abdul and Sujarwo, Imam
Keywords: Saham; barrier option pricing; knock-out barrier option pricing; metode kuartinomial; metode enhanced kuartinomial; Stock; barrier option pricing; knock-out barrier option pricing; quartinomial method; enhanced quartinomial method
Departement: Fakultas Sains dan Teknologi > Jurusan Matematika
Depositing User: Durrotun Nafisah
Date Deposited: 27 Apr 2018 02:59
Last Modified: 27 Apr 2018 02:59
URI: http://etheses.uin-malang.ac.id/id/eprint/10585

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