Ilmayasinta, Nur (2016) Metode Crank-Nicolson Untuk Menghitung Nilai Stock Loan Dengan Dividen Yang Diinvestasikan Kembali Sebelum Pembayaran Pinjaman. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Stock loan merupakan salah satu alternatif yang menarik
bagi para investor untuk meningkatkan nilai likuiditas tanpa
harus menjual saham. Mekanisme stock loan menyerupai
American call option. Dari kesamaan mekanisme stock
loan dengan American call option ini, maka penentuan
nilai stock loan dapat menggunakan persamaan Black-
Scholes. Dalam penelitian ini dilakukan perhitungan nilai
stock loan dengan dividen yang diinvestasikan kembali
sebelum pembayaran pinjaman menggunakan metode Crank-
Nicolson. Nilai stock loan yang diperoleh selanjutnya
akan dibandingkan dengan metode Pohon Binomial dari
penelitian sebelumnya[3]. Berdasarkan nilai stock loan yang
diperoleh, dapat disimpulkan bahwa hasil perhitungan nilai
stock loan menunjukkan semakin tinggi harga saham (X), dan
bertambahnya waktu (T) maka nilai stock loan juga semakin
tinggi. Sedangkan dari hasil perbandingan didapat bahwa pada
grid N=10000 nilai optimal exit price menggunakan metode
Crank-Nicolson semakin mendekati nilai optimal exit price
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menggunakan metode Pohon Binomial.
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Stock loan is one of alternative that appeal investors to get
the liquidity without selling the stock. Stock loan mechanism
resembles American call option, therefore the determination of
the value of stock loan can use Black-Scholes equation. This
research is carried out the calculation of stock loan value with
dividends reinvested before redemption using Crank-Nicolson
method. The obtained stock loan value will be compared using
Binomial Tree method from precious research[3]. Based on
the stock loan value obtained, it can be concluded that the
results of the calculation of stock loan value shows the higher
stock price X. Increasing time T, the stock loan value is
also higher. Meanwhile, from the comparison result is known
that on grid N=10000 optimal exit price value using Crank-
Nicolson method is close to the optimal exit price value using
Binomial Tree method.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.353 Ilm m |
| Uncontrolled Keywords: | Option, model Black-Scholes, Stock Loan, American call option, metode Crank- Nicolson. |
| Subjects: | H Social Sciences > HB Economic Theory > HB846.2 Cost benefit analysis |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | EKO BUDI RAHARJO |
| Date Deposited: | 16 Oct 2019 05:17 |
| Last Modified: | 16 Oct 2019 05:17 |
| URI: | http://repository.its.ac.id/id/eprint/71213 |
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