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ITS » Undergraduate Theses » Matematika
Posted by yeni at 05/12/2008 10:34:19  •  6772 Views


ESTIMASI HARGA COMPOUND OPTION TIPE EROPA PADA KASUS A CALL ON A CALL MENGGUNAKAN METODE EXTENDED KALMAN FILTER KAJIAN TEORITIS

ESTIMATION OF EUROPEAN A CALL ON A CALL COMPOUND OPTION USING EXTENDED KALMAN FILTER METHOD Study Literature

Author :
Nita Maulidiyyatul M 




ABSTRAK

Option adalah kontrak keuangan yang memberikan hak kepada pemegangnya untuk membeli atau menjual aset berharga pada waktu tertentu maturity date dengan harga tertentu strike price. Option mengalami perkembangan yang pesat sehingga muncullah modifikasi option. Salah satu dari modifikasi option adalah compound option. A call on a call compound option merupakan salah satu jenis compound option. Harga a call on a call compound option diperoleh dari perluasan formula Black Schools. Untuk mengestimasi harga A call on a call compound option terlebih dahulu harus dilakukan estimasi volatilitas karena terdapat fluktuasi harga saham. Untuk mengestimasi harga a call on a call compound option digunakan metode Extended Kalman Filter dimana model sistem dan model pengukurannya yaitu GARCH11 dan market compound option. Estimasi dengan menggunakan metode Extended Kalman Filter menghasilkan nilai Hk sama dengan nol. Hal ini diduga karena proses linierisasi yang kurang tepat.


ABSTRACT

Option is a financial contract that gives the option holder or buyer the right to buy or to sell valuable asset at certain time maturity date with a certain price stike price. Option has been grew rapidly thet it had raised the option modification. One of them is compound option. A call on a call compound option price gotten by extending Black Scholes formula. And because of stock price fluctuation for estimating a call on a call compound option price firstly we have to estimate the volatility. Here the Extended Kalman Filter method will be used to estimate a call on a call compound option price which the system model and the measurement model is GARCH11 and market option price a call on a call compound option price. By using Extended Kalman Filter method we obtain estimation which have k H equals to zero. We predict it is caused by uncorrect linierization process.



KeywordsOption; Volatliity; extended Kalman
 
Subject:  matematika bisnis
Contributor
  1. ENDAH ROKHMATI MP, S.Si, MT
    Dr. ERNA APRILIANI, M.Si
Date Create: 05/12/2008
Type: Text
Format: pdf.
Language: Indonesian
Identifier: ITS-Undergraduate-3100008031812
Collection ID: 3100008031812
Call Number: RSMa 518.1 Nit e


Source
Undergraduate Theses,Mathematics, RSMa 518.1 Nit e ,2007

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