Priyanti, Dewi Eka (2016) Penyelesaian Harga Opsi Jual European Barrier Up And In, Up And Out Menggunakan Transformasi Laplace. Undergraduate thesis, Institut Teknologi Sepuluh Nopember Surabaya.
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Abstract
Transformasi Laplace adalah salah satu metode
transformasi yang digunakan untuk menyelesaikan
Persamaan Black-Scholes dalam menentukan harga opsi
European. Dalam Tugas Akhir ini dibahas mengenai cara
menyelesaikan Persamaan Black-Scholes dengan Persamaan
difusi yang berupa Persamaan Diferensial Parsial dengan
opsi jual European Barrier up and in, up and out tanpa
pembagian dividen dan dilakukan transformasi Laplace,
selanjutnya diselesaikan menggunakan pendekatan beda
maju. Hasil penyelesaian yang didapat dari pendekatan beda
maju kemudian dilakukan invers dengan metode numerik
Gaver-Stehfest dengan menggunakan software Matlab serta
diharapkan dapat dijadikan prediksi untuk menentukan harga
opsi jual European Barrier up and in, up and out
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Laplace transform is one of method that applied to solve
the Black-Scholes equation with boundary condition for a
European option. The �nal project's goal to discuss the
problem of pricing a European option in terms of a partial
di�erential equation in difusion equation without dividend
European Barrier up and in, up and out put option and
be solved with Laplace transform, then use Forward Finite
Di�erence. The solutions of Laplace transform is simulated
with Gaver-Stehfest to get Laplace inversion on Matlab 2010a.
After get the models, be expected can be predicted for European
barrier up and in, up and out put option pricing. It means
Laplace transform method is numerical solution to solve the
Black-Scholes equation.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.723 Pri p |
| Uncontrolled Keywords: | Transformasi Laplace, Opsi Jual European Barrier up and in, up and out, Pendekatan Beda Maju, Algoritma Gaver-Stehfest |
| Subjects: | T Technology > TK Electrical engineering. Electronics Nuclear engineering > TK6565.T7 Transformers |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | EKO BUDI RAHARJO |
| Date Deposited: | 12 Feb 2020 10:20 |
| Last Modified: | 12 Feb 2020 10:20 |
| URI: | http://repository.its.ac.id/id/eprint/74846 |
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