Pemodelan Harga Saham Menggunakan Model Lévy dan Model Black-Scholes
Purnaba, I Gusti Putu
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Stock may produce high profits. However, it has a high risk as well, because the stock prices fluctuate over time. Therefore, a model is required to estimate the future stock prices accurately. In this paper, Lévy model is compared to Black-Scholes model in estimating the stock price at Bank of America Corporation. As a result, it is concluded that the Black-Scholes model is more accurate than Lévy model.
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