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ITS » Undergraduate Theses » Matematika
Posted by dewi007 at 08/07/2009 17:21:31  •  17048 Views


PENERAPAN METODE ELEMEN HINGGA DALAM ESTIMASI HARGA OPTIMAL AMERICAN OPTIONS

APPLICATION OF FINITE ELEMENT METHOD IN THE OPTIMUM PRICING ESTIMATION OF AMERICAN OPTIONS

Author :
Suprianto, Rudi 




ABSTRAK

American options adalah tipe option yang dapat diexercise sewaktu-waktu sampai dengan expired date. Pada Tugas Akhir ini metode elemen hingga digunakan untuk mengestimasi harga optimal American options sehingga diperoleh keuntungan yang maksimal. Harga American options yang didasarkan pada formula Black Scholes didiskritkan menggunakan metode elemen hingga dengan hat functions sebagai fungsi basisnya. Sistem Persamaan Linear hasil pendiskritan diselesaikan dengan Projected Successive Over- Relaxations PSOR. Dari hasil simulasi early exercise dilakukan pada saat stock price S8 untuk strike price K10 dan stock price S50 untuk strike price K55. Berdasarkan uji kestabilan dan konvergensi metodi ini stabil dan konvergen.


ABSTRACT

American options are type of option that can be exercised every time before expiration date. In this Final Project finite element method has been applied to estimate the optimum price of American options in order to get maximum profit. American options price based on Black Scholes formula was discreted by finite element using hat functions as the basis functions. Linear Equations System discretization product are solved by Projected Successive Over-Relaxations PSOR. From simulation result early exercise should be done when stock price S is 8 if strike price K is 10 and stock price S is 50 if strike price K is 55. Based on Stability and Convergence Test this method is stable and convergent.



Keywordsoption; American Options; formula Black Scholes; metode elemen hingga; PSOR; early exercise
 
Subject:  Analisis numerik
Contributor
  1. Endah Rokhmati M.P., SSi., MT
    Prof. DR. Basuki Widodo, MSc
Date Create: 08/07/2009
Type: Text
Format: pdf.
Language: Indonesian
Identifier: ITS-Undergraduate-3100008033119
Collection ID: 3100008033119
Call Number: RSMa 518.25 Sup p


Source
Undergraduate Theses of Mathematics, RSMa 518.25 Sup p, 2008

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