Putri, Almas Nur Shodrina (2016) Menentukan Harga Down And Out Call Option Menggunakan Transformasi Fourier. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Derivatives merupakan instrument keuangan dimana
nilainya diturunkan dari underlying asset yang mendasarinya.
Option merupakan salah satu jenis dari derivatives. Barrier
option dibagi menjadi 4, yaitu down and in, down and out,
up and in, dan up and out. Dalam tugas akhir ini, dibahas
mengenai bagaimana menentukan harga dari down and out
call option, yang merupakan salah satu tipe dari barrier
option, menggunakan transformasi Fourier. Langkah-langkah
yang dilakukan yang pertama adalah menyederhanakan
persamaan awal menggunakan variabel baru, mengecek
syarat batas, yang kedua dilakukan transformasi Fourier,
kemudian langkah ketiga dilakukan invers transformasi
Fourier, substitusi syarat awal, lalu diperoleh solusi untuk
down and out call option. Setelah memperoleh solusi dari
down and out call option dengan transformasi Fourier,
dilakukan simulasi menggunakan software matlab.
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Derivatives are financial instruments where the value
is derived from underlying assets. Option is one type of
derivatives. Barrier option is divided into four, there are
down and in, down and out, up and in, and up and out.
In this thesis, we discussed about how to determine the price
of a down and out call option, which is one type of barrier
option, using Fourier transformation. The steps taken are,
simplify the initial equation using the new variable, check
the boundary conditions, Fourier transformation, performed
the inverse Fourier transform, the substitution of the initial
conditions, and then we will obtain a solution for down and
out call option. After obtaining a solution of a down and out
call option, carried out simulations using matlab software.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.243 3 Put m |
| Uncontrolled Keywords: | Transformasi Fourier, Persamaan Black- Scholes, Barrier Option, Down and Out Call Option |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Users 13 not found. |
| Date Deposited: | 12 Jun 2017 03:06 |
| Last Modified: | 27 Dec 2018 04:27 |
| URI: | http://repository.its.ac.id/id/eprint/41587 |
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