Octaviano, Ivan (2017) Penerapan Metode Papoulis Untuk Menghitung American Put Option Dengan Dividen. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Metode Papoulis yang memiliki 2 parameter N dan ρ yang harus ditentukan merupakan salah satu metode pendekatan numerik untuk mendapatkan invers transformasi Laplace dari fungsi dalam domain Laplace yang invers transformasinya sulit diselesaikan secara analitik. Pada Tugas Akhir ini, dibahas mengenai kajian metode Papoulis dan penerapannya dalam bidang investasi yaitu American put option dengan dividen. Pada uji coba fungsi sederhana, metode Papoulis memiliki tingkat akurasi yang baik untuk 28 nilai pasangan parameter (N,ρ) dengan nilai pasangan parameter N=19 dan ρ=1.9 merupakan nilai pasangan parameter yang optimal untuk menghitung nilai exercise optimal American put option dengan dividen. Performansi dari metode Papoulis dengan parameter tersebut menghasilkan nilai exercise optimal bagi pembeli option yaitu sebesar $69.89 dan memiliki kecepatan komputasi 0.031196 detik.
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The Papoulis method that has two parameters N and ρ to be determined is one of the numerical approach methods to obtain the inverse Laplace transform of the function in
the Laplace domain whose inverse transformation is difficult
to be solved analytically. The study of Papoulis method and
its application in financial planning such as American put
option with dividends are described in this final assignment. The Papoulis method has good accuracy for 28 pair values of parameter (N,ρ) on simple functions test with the value N=19 and ρ=1.9 is the optimal pair of parameter value for calculating the optimal exercise value American put option with dividends. The performance of the Papoulis method with those parameters obtain optimal exercise value for the option buyer is $69.89 and has a fairly fast computing speed of 0.031196s.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.723 Oct p |
| Uncontrolled Keywords: | Metode Papoulis, Invers transformasi Laplace, American put option, Dividen |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Ivan Octaviano . |
| Date Deposited: | 20 Oct 2017 01:56 |
| Last Modified: | 05 Mar 2019 08:44 |
| URI: | http://repository.its.ac.id/id/eprint/47712 |
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