Analisis Strategi Gamma Hedging Dari Option

Prihandani, Rizka Shofi (2008) Analisis Strategi Gamma Hedging Dari Option. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Option adalah suatu kontrak antara holder dan writer yang memberikan hak (bukan kewajiban ataupun obligasi) kepada holder (pemegang kontrak) untuk membeli atau menjual suatu aset pada harga tertentu (exercise price/strike exercise) dalam jangka waktu tertentu (expiration date). Option bisa dianalisa resikonya dan dilindungi nilainya dengan Hedging. Resiko merupakan faktor yang penting bagi investor untuk mengambil keputusan. Hedging dilakukan dengan cara selain membeli call option juga put option sehingga jika harga call option jatuh maka bisa diimbangi dengan harga put option. Gamma merupakan sa/ah satu parameter hedging yang merupakan derivatif kedua dari option terhadap aset dasamya atau dengan kata lain merupakan derivatif pertama dari delta. Gamma pada European Option diselesaikan secara analitik sedangkan pada American Option diselesaikan secara numerik dengan metode Crank=Nicolson dan Metode Penalty. Kemudian gamma akan dianalisis untuk mengetahui resiko option
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An option is a contract between a holder and a writer that grants the holder the right (not the obligation or obligation) to buy or sell an asset at a specific price (exercise price/strike exercise) within a specific time period (expiration date). Options can be analyzed for risk and protected by hedging. Risk is an important factor for investors in decision-making. Hedging is achieved by purchasing both call and put options, so that if the call option price falls, it can be offset by the put option price. Gamma is a hedging parameter that is the second derivative of the option against the underlying asset, or in other words, the first derivative of delta. Gamma in European options is solved analytically, while in American options it is solved numerically using the Crank=Nicolson method and the Penalty Method. Gamma is then analyzed to determine the option's risk

Item Type:	Thesis (Other)
Additional Information:	RSMa 332.645 3 Pri a-1 2011 (weeding)
Uncontrolled Keywords:	option, hedging, gamma, American option, European option, Metode Penalty
Subjects:	Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry) Q Science > QA Mathematics > QA401 Mathematical models.
Divisions:	Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User:	EKO BUDI RAHARJO
Date Deposited:	19 Sep 2025 07:04
Last Modified:	19 Sep 2025 07:04
URI:	http://repository.its.ac.id/id/eprint/128324

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