Mam, Mamnuah (2024) Metode Transformasi Laplace Untuk Menentukan Nilai Stock Loan Disertai Regime Switching Dua State Dan Dividen Yang Diinvestasikan Kembali Sebelum Pelunasan. Masters thesis, Institut Teknologi Sepuluh Nopember.
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6002201012-Master_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 April 2026. Download (1MB) | Request a copy |
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6002201012-Master_Thesis.pdf - Accepted Version Restricted to Repository staff only until 1 April 2026. Download (1MB) | Request a copy |
Abstract
Stock loan adalah suatu kontrak pinjaman dengan menggunakansaham sebagai jaminannya, di mana volatilitas harga sahamnya mengalamiperubahan seiring dengan waktu pada pasar keuangan. Salah satu model yangdapat digunakan untuk merepresentasikan kondisi volatilitas saham adalahmodel regime-switching. Untuk menentukan nilai stock loan pada modelpersamaan diferensial parsial black-scholes yang disertai regime-switchingdua state dan dividen yang diinvestasikan kembali sebelum pelunasan yaitudengan menyelesaikan secara semi-analitik. Pada penelitian ini metodetrasnformasi Laplace digunakan untuk menentukan nilai stock loan secaraanalitik, kemudian solusi yang didapatkan dikembalikan lagi kedalam bentukruang aslinya menggunakan Algoritma Gaver-Stehfest secara numerik. Darihasil simulasi menunjukan nilai stock loan mengalami peningkatan seiringlamanya masa kontrak dan suku bunga bank juga meningkat, namun nilaistock loan menurun jika besarnya suku bunga pinjaman dan nilai dividennyasemakin besar. Kata =================================================================================================================================
Stock loan is a loan contract using shares as collateral, where thevolatility of the share price changes over time in the financial market. changesover time in financial markets. One model that can be used to representstock volatility conditions is the regime-switching model. To determine thevalue of the stock loan in the black-scholes partial differential equation modelwith regime-switching two states and reinvested dividends before repaymentby solving semi-analytically. by solving semi-analytically. In this research, themethod of method is used to determine the value of the stock loan analytically,then the solution obtained is analytically, then the solution obtained isreturned back into the original space using the Gaver-Stehfest Algorithm.space using the Gaver-Stehfest algorithm numerically. From simulation resultsshow that the stock loan value increases with the length of the contract periodand the bank interest rate also increases, but the value of the stock loan valuedecreases if the loan interest rate and dividend value are getting bigger.
| Item Type: | Thesis (Masters) |
|---|---|
| Uncontrolled Keywords: | Stock loan, Dividen, Persamaan diferensial, Black-scholes, Regime-switching dua state, Algoritma Gaver-Stehfest |
| Subjects: | Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA371 Differential equations--Numerical solutions Q Science > QA Mathematics > QA401 Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44101-(S2) Master Thesis |
| Depositing User: | Mamnuah Mamnuah |
| Date Deposited: | 12 Feb 2024 03:26 |
| Last Modified: | 12 Feb 2024 03:26 |
| URI: | http://repository.its.ac.id/id/eprint/106820 |
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