Analisis Lanjut Metode Beda Hingga Eksplisit Untuk Menentukan Harga Opsi

Unisda Journal of Mathematics and Computer Science

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Field Value
 
Title Analisis Lanjut Metode Beda Hingga Eksplisit Untuk Menentukan Harga Opsi
 
Creator Sastro, Wahyudi
 
Description Abstract. Explicit finite difference method is used to approximate a partial differential equation that is applied to determine the option pricing. The results of this study note that the calculation of option pricing using explicit finite difference method is negative when partition N ≥ 25 with a value of -2.21. Thus, the results of the calculation of option pricing are not convergent and away from the results of analyzing the option pricirng (Black-Scholes) solution. This is because one of the three probabilities Bj = 1- σ2j2Δt  is negative, namely (-0.12) when j ≥ 12 with S ≥ 16.25  (in units). So this explicit finite difference method cannot be used to determine the option pricing.
Keywords: Option Pricing, Explicit Finite Difference Method
 
Abstrak. Metode beda hingga eksplisit digunakan untuk mengaproksimasi suatu persamaan diferensial pasial yang aplikasikan untuk menentukan harga opsi. Hasil penelitian ini diketahui bahwa perhitungan harga opsi dengan menggunakan metode beda hingga eksplisit bernilai negatif pada saat partisi N ≥ 25  dengan nilai -2,21. Dengan demikian, hasil perhitungan harga opsi tidak konvergen dan menjauhi hasil solusi analitik perhitungan harga opsi (Black-Scholes). Hal ini disebabkan karena salah satu ketiga probabilitas Bj = 1- σ2j2Δt yaitu  bernilai negatif yaitu (-0.12) saat j ≥ 12 dengan S ≥ 16.25 (dalam satuan). Sehingga metode beda hingga eksplisit ini tidak dapat digunakan untuk menentukan harga opsi.
 Kata Kunci: Harga Opsi, Metode Beda Hingga Eksplisit.
 
Publisher Mathematics Department of Mathematics and Natural Sciences Unisda Lamongan
 
Date 2019-06-13
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://e-jurnal.unisda.ac.id/index.php/ujmc/article/view/1302
 
Source Unisda Journal of Mathematics and Computer Science (UJMC); Vol 5 No 01 (2019): Unisda Journal of Mathematics and Computer Science (UJMC); 41 - 46
2579-907X
2460-3333
 
Language eng
 
Relation http://e-jurnal.unisda.ac.id/index.php/ujmc/article/view/1302/948
 
Rights Copyright (c) 2019 Unisda Journal of Mathematics and Computer Science (UJMC)
http://creativecommons.org/licenses/by-sa/4.0
 

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