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Title: | Penentuan Harga Opsi Eropa Menggunakan Metode Monte Carlo dan Metode Beda Hingga |
Other Titles: | European Option Pricing Using the Monte Carlo Method and the Finite Difference Method |
Authors: | Lesmana, Donny Citra Ruhiyat Sariun, Aloysius Maverick |
Issue Date: | 2021 |
Publisher: | IPB University |
Abstract: | Harga opsi Eropa umumnya dihitung menggunakan model Black-Scholes. Model ini dapat digunakan ketika asumsinya terpenuhi. Perdagangan opsi pada kenyataannya tidak memenuhi beberapa asumsi, sehingga model Black-Scholes tidak dapat memberikan solusi analitik untuk harga opsi. Hal ini menjadi alasan dibutuhkannya metode numerik untuk menghitung harga opsi Eropa. Pada penelitian ini digunakan dua metode numerik, yaitu metode Monte Carlo yang menghitung harga opsi dengan melakukan simulasi harga saham dan metode beda hingga yang melakukan diskretisasi pada persamaan diferensial parsial. Karya ilmiah ini memeriksa kekonvergenan untuk tiap metode. Selanjutnya, diperiksa pengaruh dari beberapa parameter terhadap harga opsi menggunakan metode beda hingga. Waktu jatuh tempo opsi dengan harga opsi memiliki hubungan yang berbeda untuk kondisi tertentu dan volatilitas harga saham berbanding lurus dengan harga opsi. European option prices are generally calculated using the Black-Scholes model. This model can be used when the assumptions are fulfilled. In fact, options trading does not fulfill several assumptions so the Black-Scholes model cannot provide an analytical solution for option prices. This is the reason for the need of numerical methods to calculate European option prices. This study uses numerical methods such as the Monte Carlo method which calculates option prices by simulating stock prices and the finite difference method which performs discretization on partial differential equations. This paper examines the convergence for each method. Next, we examine the effect of several parameters on the option price using the finite difference method. The expiration time of the option and the option price has a different relationship for certain conditions and the volatility of the stock price is directly proportional to the option price. |
URI: | http://repository.ipb.ac.id/handle/123456789/108714 |
Appears in Collections: | UT - Actuaria |
Files in This Item:
File | Description | Size | Format | |
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Cover.pdf Restricted Access | Cover | 873.67 kB | Adobe PDF | View/Open |
G94170055_Aloysius Maverick Sariun.pdf Restricted Access | Fullteks | 1.16 MB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 423.42 kB | Adobe PDF | View/Open |
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