RANI, FRIDA AKBAR (2020) Solusi Pendekatan Harga Digital Put Option Menggunakan Metode Homotopi Pertubasi. Other thesis, INSTITUT TEKNOLOGI SEPULUH NOPEMBER.
Preview |
Text
06111640000048-Ungraduate_Thesis.pdf Download (1MB) | Preview |
Abstract
Opsi merupakan sebuah kontrak untuk menjual ataupun membeli saham pada harga dan jangka waktu tertentu. Penentuan harga opsi diperlukan dalam kontrak jual beli saham agar mendapatkan keuntungan. Jenis opsi yang digunakan pada Tugas Akhir ini adalah digital put option tipe Eropa. Model Black-Scholes dinyatakan sebagai metode yang paling banyak digunakan untuk menentukan solusi analitik harga opsi tipe Eropa. Penurunan model Black-Scholes dilakukan dengan menggunakan metode homotopi pertubasi, sebuah metode penyelesaian dengan pendekatan deretkuasa. Hasil dari pendekatan solusi analitik modelBlack-Scholes menggunakan metode homotopi perturbasi dibandingkan dengan solusi analitik dari penurunan model Black-Scholes. Berdasarkan hasil simulasi, didapatkan solusi pendekatan dengan metode homotopi pertubasi mendekati solusi analitik dari Black-Scholes. Hal tersebut menunjukkan bahwa metode homotopi pertubasi merupakan metode yang tepat dan akurat.
==================================================================================================================
Option is a contract to put or call stock at speci�fic price and period of time. Determination pricing of option
required in put call stock contract to get profi�t. Type of option used in this Final Project is digital put option Europe type. Black-Scholes model is the most usable method for determine analitic solution of option price Europe type. Reduction of Black-Scholes model do with homotopy perturbation method, a solution method with sequence approach. The result from aproximation solution Black-Scholes model used homotopy perturbation method compared with analitic solution of Black-Scholes model. Based on the simulation results, obtained aproximation solution with homotopy perturbation method approach analytic solution from Black-Scholes model. This shows that homotopy perturbation method is right and accurate method.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 511.8 Ran s-1 |
| Uncontrolled Keywords: | Model Black-Scholes, Metode homotopi pertubasi, Digital Put Option |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Frida Akbar Rani |
| Date Deposited: | 26 Aug 2020 13:27 |
| Last Modified: | 23 Dec 2023 15:16 |
| URI: | http://repository.its.ac.id/id/eprint/80806 |
Actions (login required)
 |
View Item |