Mendapatkan Solusi Dari European Put Option Menggunakan Backward Stochastic Differential Equations

Hanum, Wilujeng Lailia (2022) Mendapatkan Solusi Dari European Put Option Menggunakan Backward Stochastic Differential Equations. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Penelitian ini membahas mengenai penyelesaian harga European put option. European put option merupakan hak untuk menjual aset pada harga tertentu (strike price) pada waktu tertentu (jatuh tempo). Penyelesaian harga European put option dilakukan dengan menggunakan model Black-Scholes dan Backward Stochastic Differential Equations (BSDE). BSDE merupakan suatu persamaan diferensial stokastik yang memiliki kondisi terminal. Dalam penelitian ini, BSDE diselesaikan dengan menggunakan pendekatan numerik Euler-Maruyama. Hasil simulasi menunjukkan bahwa solusi dari BSDE mendekati nilai dari harga European put option yang diperoleh dari model Black-Scholes. Selain itu, penelitian ini juga menganalisis pengaruh dari volatilitas dan waktu jatuh tempo terhadap harga European put option. Hasil analisis menunjukkan bahwa semakin besar volatilitas, maka harga European put option akan semakin meningkat. Begitu pula dengan waktu jatuh tempo, semakin lama waktu jatuh tempo, maka harga European put option akan semakin meningkat.
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This study discusses the solution of European put option prices. A European put option is the right to sell an asset at a certain price (strike price) at a certain time (maturity). The settlement of European put option prices is carried out using the Black-Scholes model and Backward Stochastic Differential Equations (BSDE). BSDE is a stochastic differential equation that has a terminal condition. In this study, BSDE is solved using the Euler-Maruyama numerical approach. The simulation results show that the solution of the BSDE approaches the value of the European put option price obtained from the Black-Scholes model. In addition, this study also analyzes the effect of volatility and time to maturity on the price of European put options. The analysis results show that the greater the volatility, the higher the European put option price. Likewise, with the time to maturity, the longer the time to maturity, the higher the European put option price.

Item Type:	Thesis (Other)
Additional Information:	RSMa 519.22 Han m-1 2022
Uncontrolled Keywords:	European put option. Backward Stochastic Differential Equations. European put option. Backward Stochastic Differential Equations.
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	Mr. Marsudiyana -
Date Deposited:	05 Jun 2026 05:24
Last Modified:	05 Jun 2026 05:24
URI:	http://repository.its.ac.id/id/eprint/133608

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