Manurung, Maruli (2015) Solusi Analitik Harga Eropean Put Option Disertai Divide Dengan Regime-Switching Dua State Menggunakan Transformasi Fourier. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Model Black-Scholes tidak mampu merepresentasikan
keadaan pasar yang sebenarnya karena volatilitasnya dianggap
konstan. Oleh karena itu model Black-Scholes dikombinasikan
dengan regime-switching. Disini, dijabarkan solusi analitik
dari European put option disertai dividen dengan regimeswitching menggunakan transformasi Fourier dan invers
Fourier. Dari hasil simulasi, dapat dilihat bahwa nilai
European put option mengalami penurunan baik ketika time
to expiry, harga saham, dan interest rate meningkat. Ketika
suatu parameter laju dari suatu state semakin besar maka
nilai European put option disertai dividen dengan regimeswitching dari state tersebut konvergen ke European put
option disertai dividen dengan regime-switching dari state
lainnya. Kombinasi volatilitas dari kedua state menyebabkan
nilai European put option disertai dividen dengan regimeswitching berada diantara nilai European put option dengan
model Black-Scholes klasik (tanpa regime-switching) disertai
dividen. ========== The Black-Scholes cannot represent the reality of the
financial market because of its constant volatility. Therefore,
the Black-Scholes model is combined with a regime-switching.
Here, an analytical solution of European put option with
dividend in a regime-switching using Fourier transform and
its inversion is derived. The simulation results show that
European put option values decrease as time to expiry,
stock price and interest rate increase. As a rate parameter
of a state increases, the European put option value with
dividend in regime-switching of this state converges to the
European put option value with dividend in regime-switching of
another state. The combination between two volatilities causes
European put option values with dividend in regime-switching
lie in between the two classical Black-Scholes option values.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Additional Information: | RSMa 515.243 3 Man s 3100015062177 |
| Uncontrolled Keywords: | Model Black-Scholes, regime-switching, European put option, transformasi Fourier, invers Fourier, The Black-Scholes model, regime-switching, European put option, Fourier Transform, Fourier inversion. |
| Subjects: | Q Science > QC Physics > QC20.7.F67 Fourier transformations |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | - Davi Wah |
| Date Deposited: | 03 Dec 2019 05:12 |
| Last Modified: | 03 Dec 2019 05:12 |
| URI: | http://repository.its.ac.id/id/eprint/72063 |
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