Penyelesaian Harga Opsi Jual European Barrier Up And In, Up And Out Menggunakan Transformasi Laplace

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 ==================================================================================================== 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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