Anisa, Lisa (2017) Penerapan Metode Widder untuk Menghitung American Put Option Tanpa Dividen. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Pendekatan numerik invers transformasi Laplace
digunakan untuk mendapatkan solusi semianalitik.
Dalam berbagai bidang penelitian untuk menyelesaikan
permasalahan, pendekatan numerik invers transformasi
Laplace metode Widder sudah banyak dikembangkan. Pada
pembahasan ini, metode Widder akan digunakan untuk
mendapatkan nilai American Put Option tanpa dividen
melalui pendekatan numerik invers transformasi Laplace
dengan menggunakan rumus analitik pada metode Widder
melalui di�erensiasi dan selanjutnya akan didapatkan
performansi dari metode Widder. Hasil analisa performansi
metode Widder diperoleh hasil nilai Sf = 98.14$ dengan
kecepatan komputasi yang dibutuhkan yaitu selama
303.257013 detik. Hasil yang didapat menunjukkan,
metode Widder memiliki tingkat akurasi yang baik untuk
menghitung nilai American Put Option tanpa Dividen.
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The numerical inverse approach of Laplace transformation
is used to obtain semianalytic solution. The invers numerical
approach of Lalplace transformation of the Widder method
was developed in various research to solve various problems.
In this discussion the Widder methode will be used to obtain
American Put Option without dividen value through numeric
invers approach of Laplace transformation using analytic
formulation on the Widder methode by di�erentiation and
then it will get the performance of the Widder method. Result
of the performance analysis of the Widder methode obtained
value Sf = 98:14$ with computation speed for 303:257013
second. The result show that Widder method has good degree
of accuracy to calculate value American Put Option without
dividen.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.723 Ani p |
| Uncontrolled Keywords: | Invers transformasi Laplace, American Put Option tanpa dividen, Metode Widder |
| Subjects: | Q Science > QA Mathematics > QA184 Algebra, Linear |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Lisa Anisa . |
| Date Deposited: | 13 Feb 2018 06:09 |
| Last Modified: | 05 Mar 2019 08:44 |
| URI: | http://repository.its.ac.id/id/eprint/47069 |
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