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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.



KeywordsCall option, volatilitas, model Black-Scholes, model Bachelier, GARCH (1,1), Extended Kalman Filter.
 
Subject:  Kalman Filtering
Contributor
  1. Endah Rokhmati M.P., SSi, MT Dr.Erna Apriliani, MSi
Date Create: 12/01/2022
Type: Text
Format: pdf
Language: Indonesian
Identifier: ITS-Undergraduate-3100007028891
Collection ID: 3100007028891
Call Number: RSMa 518.1 Han e,2007


Source
Undergraduate Theses of Mathematics, RSMa 518.1 Han e,2007

Coverage
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Copyright @2008 by ITS Library. This publication is protected by copyright and permission should be obtained from the ITS Library prior to any prohibited reproduction, storage in a retrievel system, or transmission in any form or by any means, electronic, mechanical, photocopying, recording, or likewise. For information regarding permission(s), write to ITS Library




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  1.  ITS-Undergraduate-7409-1202100008-kesimpulan.pdf - 105 KB




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