Yuniar, Ayu Risanti (2017) Penerapan Metode Durbin-Crump untuk Menghitung American Put Option dengan Dividen. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Metode Durbin-Crump merupakan metode invers numerik
transformasi Laplace yang dapat digunakan untuk melakukan
perhitungan American put option dengan dividen melalui
persamaan harga exercise optimal yang berada dalam ruang
Laplace. Uji coba metode Durbin-Crump pada fungsi
sederhana merupakan tahapan yang harus dilalui untuk
mengetahui akurasi metode serta mendapatkan parameter
yang selanjutnya digunakan dalam perhitungan American put
option. Pada penelitian ini dibahas mengenai penerapan
metode invers numerik transformasi Laplace, yaitu metode
Durbin-Crump untuk menghitung American put option dengan
dividen melalui persamaan harga exercise optimal yang
berada dalam ruang Laplace. Adapun output yang diperoleh
ialah performansi metode Durbin-Crump pada perhitungan
American put option dengan dividen.
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The Durbin-Crump is a numerical inversion of Laplace
transform method which can be used to calculate American
put option with dividend through the optimum exercise price
equation in Laplace space. The test of the Durbin-Crump
method of simple functions is a step that must be passed
to know the accuracy of the method and obtain parameter
which used in the calculation of American put option. In this
research will be discussed about the application of numerical
inversion of Laplace transform method, that is Durbin-Crump
to calculate American put option with dividend through the
optimal exercise price equation which is in Laplace space.
The output obtained is the performance of the Durbin-Crump
method on the calculation of American put option with
dividend.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Durbin-Crump, American put option, dividen |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Ayu Risanti Yuniar |
| Date Deposited: | 19 Oct 2017 06:35 |
| Last Modified: | 06 Mar 2019 04:54 |
| URI: | http://repository.its.ac.id/id/eprint/47071 |
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