Pratiwi, Nirmala (2015) Penyelesaian Persamaan Black-Scholes Dengan Adomian Decomposition Method. UNSPECIFIED thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Adomian Decomposition Method (ADM) adalah sebuah
metode penyelesaian berbentuk deret pendekatan yang
digunakan untuk menyelesaikan Persamaan Black-Scholes
dengan tipe Opsi Eropa. Dalam Tugas Akhir ini akan dibahas
tentang cara menyelesaikan Persamaan Black-Scholes berupa
Persamaan di�erensial parsial dengan call option dan
opsi put dalam tipe Eropa dengan pembayaran dividen
dan diselesaikan menggunakan Adomian Decomposition
Method (ADM). Hasil penyelesaian yang didapat dari
Adomian Decomposition Method akan dibandingkan
dengan penyelesaian Persamaan difusi melalui program
simulasi Matlab 2010a. Setelah didapatkan hasil bahwa
Adomian Decomposition Method merupakan metode yang
akurat karena hasil perhitungan yang didapat,sama persis
dengan hasil dari perhitungan difusi untuk menyelesaikan
Persamaan Black-Scholes, sehingga disimpulkan bahwa
Adomian Decomposition Method merupakan penyelesaian
secara analitik untuk Persamaan Black-Scholes. ===================================================================================== Adomian Decomposition Method (ADM) is applied to
solve the Black-Scholes equation with boundary condition for
European option. The �nal project's goal is to discuss the
problem of pricing a European option in terms of a partial
di�erential equation with dividend of call option and put
option. The solutions of Adomian decomposition method is
compared to Di�ution equation model using implementation
Matlab 2010a. After getting the models, it's conclude that
Adomian decomposition method is accurate solution to solve
the Black-Scholes equation, because Adomian decomposition
models exactly the same as a result of the Di�ution equation
models. It concurrently Adomian decomposition method can
be considered as analytical solution to solve the Black-Scholes
equation.
| Item Type: | Thesis (UNSPECIFIED) |
|---|---|
| Uncontrolled Keywords: | Adomian Decomposition Method, Black-Scholes Equation, dividend, difusion Equation, Call Option, Put Option |
| Subjects: | Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44101-(S2) Master Thesis |
| Depositing User: | - Davi Wah |
| Date Deposited: | 20 Jan 2020 08:47 |
| Last Modified: | 08 May 2024 02:21 |
| URI: | http://repository.its.ac.id/id/eprint/72786 |
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