Menentukan Harga Down And Out Call Option Menggunakan Transformasi Fourier

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. ================================================================================================================== 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 > (S1) Undergraduate Theses
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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