Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa
| Main Authors: | Aziz, Abdul, Istiqomah, Istiqomah |
|---|---|
| Format: | Journal PeerReviewed Book |
| Bahasa: | ind |
| Terbitan: |
Jurusan Teknik Informatika UIN Maulana Malik Ibrahim Malang
, 2014
|
| Subjects: | |
| Online Access: |
http://repository.uin-malang.ac.id/2388/8/2388.pdf http://repository.uin-malang.ac.id/2388/ http://dx.doi.org/10.18860/ca.v3i2.2581 |
| ctrlnum |
2388 |
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<dc schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd"><relation>http://repository.uin-malang.ac.id/2388/</relation><title>Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa</title><creator>Aziz, Abdul</creator><creator>Istiqomah, Istiqomah</creator><subject>010205 Financial Mathematics</subject><subject>010301 Numerical Analysis</subject><subject>140207 Financial Economics</subject><description>A common model which is used the calculation of the price of European option is Black Scholes Model. Afterwards, there is a new model which in approximation of Black Scholes Model. This model is called as Binomial Model. But then, the calculation of the price of European Option with Binomial Model requires many iterations to approach the Continue Model of Black Scholes. The development of Binomial Model, Accelerated Binomial, is used accelerate the convergence of the approximation of European Option. On of steps in the Accelerated Binomial Method is the Middle of Tree (MOT). MOT is the smoothing of option price’s curve. Before doing the smoothing of curve, the first step that must be done is separating the used time; odd and even time. The assumption that is used in MOT is placing the price provision among the binomial tree on the maturity time. The result the assumption u and p that will be applied in the smoothing of curve. The using of MOT parameter produces a result from the price of European Option that convergences to Black Scholes faster than using Binomial Model.</description><publisher>Jurusan Teknik Informatika UIN Maulana Malik Ibrahim Malang</publisher><date>2014</date><type>Journal:Journal</type><type>PeerReview:PeerReviewed</type><type>Book:Book</type><language>ind</language><rights>cc_by_nc_nd_4</rights><identifier>http://repository.uin-malang.ac.id/2388/8/2388.pdf</identifier><identifier> Aziz, Abdul and Istiqomah, Istiqomah (2014) Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa. Cauchy: Jurnal Matematika Murni dan Aplikasi, 03 (02). pp. 108-115. ISSN 2086-0382 </identifier><relation>http://dx.doi.org/10.18860/ca.v3i2.2581</relation><recordID>2388</recordID></dc>
|
| language |
ind |
| format |
Journal:Journal Journal PeerReview:PeerReviewed PeerReview Book:Book Book |
| author |
Aziz, Abdul Istiqomah, Istiqomah |
| title |
Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa |
| publisher |
Jurusan Teknik Informatika UIN Maulana Malik Ibrahim Malang |
| publishDate |
2014 |
| topic |
010205 Financial Mathematics 010301 Numerical Analysis 140207 Financial Economics |
| url |
http://repository.uin-malang.ac.id/2388/8/2388.pdf http://repository.uin-malang.ac.id/2388/ http://dx.doi.org/10.18860/ca.v3i2.2581 |
| contents |
A common model which is used the calculation of the price of European option is Black Scholes Model. Afterwards, there is a new model which in approximation of Black Scholes Model. This model is called as Binomial Model. But then, the calculation of the price of European Option with Binomial Model requires many iterations to approach the Continue Model of Black Scholes. The development of Binomial Model, Accelerated Binomial, is used accelerate the convergence of the approximation of European Option. On of steps in the Accelerated Binomial Method is the Middle of Tree (MOT). MOT is the smoothing of option price’s curve. Before doing the smoothing of curve, the first step that must be done is separating the used time; odd and even time. The assumption that is used in MOT is placing the price provision among the binomial tree on the maturity time. The result the assumption u and p that will be applied in the smoothing of curve. The using of MOT parameter produces a result from the price of European Option that convergences to Black Scholes faster than using Binomial Model. |
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IOS3710.2388 |
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Universitas Islam Negeri Maulana Malik Ibrahim Malang |
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