Solusi Analitik Harga Eropean Put Option Disertai Divide Dengan Regime-Switching Dua State Menggunakan Transformasi Fourier

Manurung, Maruli (2015) Solusi Analitik Harga Eropean Put Option Disertai Divide Dengan Regime-Switching Dua State Menggunakan Transformasi Fourier. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

[img]
Preview
Text
1211100063-Undergraduate_Theses.pdf - Accepted Version

Download (850kB) | Preview
[img]
Preview
Text
1211100063-Paper-1211100063-paperpdf.pdf - Accepted Version

Download (422kB) | Preview
[img]
Preview
Text
1211100063-Presentation-1211100063-presentationpdf.pdf - Presentation

Download (568kB) | Preview

Abstract

Model Black-Scholes tidak mampu merepresentasikan keadaan pasar yang sebenarnya karena volatilitasnya dianggap konstan. Oleh karena itu model Black-Scholes dikombinasikan dengan regime-switching. Disini, dijabarkan solusi analitik dari European put option disertai dividen dengan regimeswitching menggunakan transformasi Fourier dan invers Fourier. Dari hasil simulasi, dapat dilihat bahwa nilai European put option mengalami penurunan baik ketika time to expiry, harga saham, dan interest rate meningkat. Ketika suatu parameter laju dari suatu state semakin besar maka nilai European put option disertai dividen dengan regimeswitching dari state tersebut konvergen ke European put option disertai dividen dengan regime-switching dari state lainnya. Kombinasi volatilitas dari kedua state menyebabkan nilai European put option disertai dividen dengan regimeswitching berada diantara nilai European put option dengan model Black-Scholes klasik (tanpa regime-switching) disertai dividen. ========== The Black-Scholes cannot represent the reality of the financial market because of its constant volatility. Therefore, the Black-Scholes model is combined with a regime-switching. Here, an analytical solution of European put option with dividend in a regime-switching using Fourier transform and its inversion is derived. The simulation results show that European put option values decrease as time to expiry, stock price and interest rate increase. As a rate parameter of a state increases, the European put option value with dividend in regime-switching of this state converges to the European put option value with dividend in regime-switching of another state. The combination between two volatilities causes European put option values with dividend in regime-switching lie in between the two classical Black-Scholes option values.

Item Type: Thesis (Undergraduate)
Additional Information: RSMa 515.243 3 Man s 3100015062177
Uncontrolled Keywords: Model Black-Scholes, regime-switching, European put option, transformasi Fourier, invers Fourier, The Black-Scholes model, regime-switching, European put option, Fourier Transform, Fourier inversion.
Subjects: Q Science > QC Physics > QC20.7.F67 Fourier transformations
Divisions: Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: - Davi Wah
Date Deposited: 03 Dec 2019 05:12
Last Modified: 03 Dec 2019 05:12
URI: http://repository.its.ac.id/id/eprint/72063

Actions (login required)

View Item View Item