Penerapan Metode Durbin-Crump untuk Menghitung American Put Option dengan Dividen

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