PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES
| Main Authors: | DENI, PUTU AYU; Faculty of Mathematics and Natural Sciences, Udayana University, DHARMAWAN, KOMANG; Faculty of Mathematics and Natural Sciences, Udayana University, GANDHIADI, G. K.; Faculty of Mathematics and Natural Sciences, Udayana University |
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| Format: | Article invalid/pdf eJournal |
| Bahasa: | ind |
| Terbitan: |
E-Jurnal Matematika
, 2016
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| Subjects: | |
| Online Access: |
http://ojs.unud.ac.id/index.php/mtk/article/view/18718 |
Daftar Isi:
- Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned. Many methods are used to determine the price of option, one of them by using the Black-Scholes equation. But its use these in the assumption that the value for the constant volatility. On market assumption are not appropriates, so many researchers proposed using a volatility calculation option that is non-constant Black-Scholes equation modelled using the volatility is not constant in the range so as to produce a non-linear equation of Black-Scholes. In addition to determine the value of hedge ratio. On completions of this study, for the numerical solution of non-linear Black-Scholes equation using method of explicit finite difference scheme. Option use in research us a stock YAHOO!inc. as the underlying asset. The result showed that the price of the option is calculated using non-linear Black-Scholes equation price close on the market. Therefore, it can produce hedge ration for a risk-free portfolio containing of the option and stock.