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ITS » Undergraduate Theses » Matematika Posted by jono at 12/01/2010 10:11:02 • 4841 Views
ESTIMASI HARGA EUROPEAN CALL OPTION PADA MODEL BACHELIER MENGGUNAKAN EXTENDED KALMAN FILTER
EUROPEAN CALL OPTION ESTIMATION AT THE BACHELIER MODEL USING EXTENDED KALMAN FILTER METHOD
Author : Handani, Vanita
ABSTRAK
Option adalah kontrak keuangan yang memberikan hak kepada pemegang kontrak untuk membeli atau menjual suatu aset tertentu dengan harga tertentu dalam jangka waktu tertentu.
Terdapat dua buah model untuk mendapatkan harga call option yang dikenal dengan model Bachelier dan model Black-Scholes. Baik model Bachelier maupun model Black-Scholes tidak bisa langsung digunakan sebab diperlukan nilai volatilitas yang tidak dapat diamati secara langsung oleh karena itu terlebih dahulu harus dilakukan estimasi volatilitas.
Estimasi volatilitas dilakukan dengan menggunakan metode Historical Data yaitu GARCH 11. Hasil estimasi volatilitas tersebut kemudian digunakan untuk mengestimasi European call option pada model Bachelier dan model Black-Scholes dengan metode Extended Kalman Filter. Setelah melakukan estimasi European call option maka dilakukan perbandingan antara kedua model tersebut sehingga diperoleh bahwa model Black-Scholes lebih baik daripada model Bachelier pada objek penelitian ini.
ABSTRACT
An option is a finance contract that gives the holder the right to buy or sell the underlying asset by a certain date for a certain price.
There are two kinds of model in the pricing of options what have known as the Bachelier model and the Black-Scholes model. The Bachelier and Black-Scholes model cannot be used directly because there is a volatility. where the market cannot gives the value of volatility. So the first step is to calculate the volatility.
In estimating volatility Historical Data method is used which one of them known as GARCH 11. The result from the previous step is used to estimate the European call option in the Bachelier and the Black-Scholes model through an Extended Kalman Filter method. To get a good model for estimating European call option therefor we have to compare the option price. It is found that the Black-Scholes model is the better model for option-pricing than the Bachelier model.
Keywords:
Call option, volatilitas, model Black-Scholes, model Bachelier, GARCH (1,1), Extended Kalman Filter.
Source Undergraduate Theses of Mathematics, RSMa 518.1 Han e,2007
Coverage ITS Communication Only
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