Metode Martingale Dalam Penentuan Harga Opsi Tipe Eropa Dengan Menggunakan Pendekatan Waktu Kontinu Pada Pasar (B,S)
| Main Author: | Perpustakaan UGM, i-lib |
|---|---|
| Format: | Article NonPeerReviewed |
| Terbitan: |
[Yogyakarta] : Universitas Gadjah Mada
, 2003
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| Subjects: | |
| Online Access: |
https://repository.ugm.ac.id/27176/ http://i-lib.ugm.ac.id/jurnal/download.php?dataId=10228 |
Daftar Isi:
- ABSTRACT This thesis study about financial mathematics, especially about the theory of pricing of options of European type with continuosly in time. It is assumed that a (B,S) market is operating continuously in time. The riskless bank account B + (Bt)to is evolving according to the "compound interests" formula, and a risky stock price S = (St) to is governed by geometric Brownian Motion. The "martingale" pricing theory is presented for rational option price, hedging strategies, and rational expiration fifties. Keywords : options, geometric Brownian Motion, martingale measure