ZAMANI, MUHAMMAD SABILA (2017) METODE POHON BINOMIAL UNTUK MENENTUKAN NILAI STOCK LOAN TANPA DIVIDEN DALAM REGIME SWITCHING. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Model binomial dengan regime-switching dapat merepresentasikan nilai stock loan yang mengikuti proses
stokastik. Stock loan merupakan salah satu alternatif menarik bagi investor untuk meningkatkan likuiditas tanpa harus menjual saham. Mekanisme stock loan menyerupai American call option dimana seseorang dapat meng-exercise setiap saat sebelum jatuh tempo perjanjian. Dari kesamaan mekanisme tersebut penentuan nilai stock loan dapat diinterpretasikan dari model American call option. Hasil simulasi menunjukkan bahwa nilai stock loan dalam regime-switching meningkat ketika nilai interest rate, stock price, volatility, maturity meningkat dan nilai stock loan menurun ketika suku bunga pinjaman meningkat.
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Binomial model with regime-switching may represents the
price of stock loan which follows the stochastic process. Stock loan is one of alternative that appeal investors to get the liquidity without selling the stock. The stock loan mechanism resembles that of American call option when someone can exercise any time during the contract period. From the resembles both of mechanism, determination price of stock loan can be interpreted from the model of American call option. The simulation result shows that the price of stock loan under a regime-switching increases when interest rate, stock price, volatility, maturity increases and the price of stock
loan decreases when interest rate of loan increases.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Stock loan, American call option, Regimeswitching, Binomial |
| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA278.2 Regression Analysis. Logistic regression |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | - MUHAMMAD SABILA ZAMANI |
| Date Deposited: | 25 Jan 2017 03:17 |
| Last Modified: | 06 Mar 2019 06:42 |
| URI: | http://repository.its.ac.id/id/eprint/2969 |
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