Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa

Aziz, Abdul and Istiqomah, Istiqomah (2014) Analisis metode binomial dipercepat pada perhitungan harga opsi Eropa. Cauchy: Jurnal Matematika Murni dan Aplikasi, 03 (02). pp. 108-115. ISSN 2086-0382

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Full text available at: http://dx.doi.org/10.18860/ca.v3i2.2581

Abstract

A common model which is used the calculation of the price of European option is Black Scholes Model. Afterwards, there is a new model which in approximation of Black Scholes Model. This model is called as Binomial Model. But then, the calculation of the price of European Option with Binomial Model requires many iterations to approach the Continue Model of Black Scholes. The development of Binomial Model, Accelerated Binomial, is used accelerate the convergence of the approximation of European Option. On of steps in the Accelerated Binomial Method is the Middle of Tree (MOT). MOT is the smoothing of option price’s curve. Before doing the smoothing of curve, the first step that must be done is separating the used time; odd and even time. The assumption that is used in MOT is placing the price provision among the binomial tree on the maturity time. The result the assumption u and p that will be applied in the smoothing of curve. The using of MOT parameter produces a result from the price of European Option that convergences to Black Scholes faster than using Binomial Model.

Item Type: Journal Article
Keywords: European Option; Binomial; Accelerated Binomial; Middle of Tree (MOT)
Subjects: 01 MATHEMATICAL SCIENCES > 0102 Applied Mathematics > 010205 Financial Mathematics
01 MATHEMATICAL SCIENCES > 0103 Numerical and Computational mathematics > 010301 Numerical Analysis
14 ECONOMICS > 1402 Applied Economics > 140207 Financial Economics
Divisions: Faculty of Mathematics and Sciences > Department of Mathematics
Depositing User: Mr. Abdul Aziz
Date Deposited: 07 Mar 2018 04:19

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