Penerapan Metode Widder untuk Menghitung American Put Option Tanpa Dividen

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. ======================================================================================================================== 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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