KAJIAN MATEMATIS DAN SIMULASI NUMERIK TENTANG KEKONVERGENAN HARGA OPSI CALL TIPE EROPA MODEL BINOMIAL KE MODEL BLACK-SCHOLES
Keywords: Binomial, Black-Scholes, opsi, option
Abstract
There are many methods for finding option pricing. In this paper, two mehods will be presented, Black-Scholes model and binomial model. For the number of time periods increases to infinity and the length of each time period is infinitesimally short, option pricing from the binomial model converges to the Black-Scholes model.
Terdapat beberapa metode untuk menentukan harga opsi. Dalam artikel ini dibahas dua metode, yaitu model Binomial dan model Black-Scholes. Dengan semakin meningkatnya periode waktu maka harga opsi juga akan semakin meningkat dengan perbedaan yang cukup kecil, secara analisis model binomial harga opsi akan konvergen ke model Black-Scholes.
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References
Cox, J.C, Ross, S. A, & Rubinstein, M. (1979). Option pricing: A simplified approach. Journal of Financial Economics 7, 229-263.
Hsia, C. (1983). On binomial option pricing. The Journal of Financial Research. 6, 41-46.
Hull, J.C. (2003). Options, futures and other derivatives. New Jersey: Prentice Hall.
Seydel, R. (2002). Tools for computational finance. New York: Springer.
Hsia, C. (1983). On binomial option pricing. The Journal of Financial Research. 6, 41-46.
Hull, J.C. (2003). Options, futures and other derivatives. New Jersey: Prentice Hall.
Seydel, R. (2002). Tools for computational finance. New York: Springer.
Published
Aug 15, 2012
How to Cite
Yong, B. . (2012). KAJIAN MATEMATIS DAN SIMULASI NUMERIK TENTANG KEKONVERGENAN HARGA OPSI CALL TIPE EROPA MODEL BINOMIAL KE MODEL BLACK-SCHOLES. Jurnal Matematika Sains Dan Teknologi, 13(1), 1–10. Retrieved from https://jurnal.ut.ac.id/index.php/jmst/article/view/398
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