Estimasi Harga Compound Option Tipe Eropa Pada Kasus A Call On A Call Menggunakan Metode Extended Kalman Filter (Kajian Teoritis)

M, Nita Maulidiyyatul (2007) Estimasi Harga Compound Option Tipe Eropa Pada Kasus A Call On A Call Menggunakan Metode Extended Kalman Filter (Kajian Teoritis). Other thesis, Institut Teknologi Sepuluh Nopember Surabaya.

Text 1203100002-Undregraduate_Thesis.pdf - Accepted Version Download (7MB)

Abstract

Option adalah kontrak keuangan yang memberikan hak kepada pemegangnya untuk membeli atau menjual aset berharga pada waktu tertentu (maturity date) dengan harga tertentu (strike price). Option mengalami perkembangan yang pesat, sehingga muncullah modifikasi option. Salah satu dari modifikasi option adalah compound option. A call on a call compound option merupakan salah satu jenis compound option. Harga a call on a call compound option diperoleh dari perluasan formula Black Schools. Untuk mengestimasi harga A call on a call compound option terlebih dahulu harus dilakukan estimasi volatilitas karena terdapat fluktuasi harga saham. Untuk mengestimasi harga a call on a call compound option digunakan metode Extended Kalman Filter, dimana model sistem dan model pengukurannya, yaitu GARCH(1,1) dan market compound option. Estimasi dengan menggunakan metode Extended Kalman Filter menghasilkan nilai Hk sama dengan not. Hal ini diduga karena proses linierisasi yang kurang tepat
=====================================================================================================================================
An option is a financial contract that gives the holder the right to buy or sell a valuable asset at a certain time (maturity date) at a certain price (strike price). Options experienced rapid development, so option modifications emerged. One of the option modifications is the compound option. A call on a call compound option is a type of compound option. The price of a call on a call compound option is obtained from an expansion of the Black Schools formula. To estimate the price of a call on a call compound option, you must first estimate volatility because there are share price fluctuations. To estimate the price of a call on a call compound option, the Extended Kalman Filter method is used, where the system model and measurement model are, namely GARCH(1,1) and market compound option. Estimation using the Extended Kalman Filter method produces a Hk value equal to note. This is thought to be due to an inaccurate linearization process

Item Type:	Thesis (Other)
Additional Information:	RSMa 518.1 Nit e-1 2007
Uncontrolled Keywords:	option, A call on a call compound option, Formula Black Scholes, volatilitas, GARCH (1, 1), Extended Kalman Filter
Subjects:	Q Science > QA Mathematics > QA9.58 Algorithms
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	EKO BUDI RAHARJO
Date Deposited:	07 May 2024 03:19
Last Modified:	07 May 2024 03:19
URI:	http://repository.its.ac.id/id/eprint/107941

Actions (login required)

View Item