PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA
Binomial tree is a method that can be used to determine price option contracts. In this method, the stock price movement is presented in the form of a tree with each branch representing the probability of the stock price to move up or move down. The purpose of this paper was to determine the price...
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Universitas Udayana
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doaj-9fcc827729e84221aae6ef1a8c598ece2020-11-24T21:04:25ZengUniversitas UdayanaE-Jurnal Matematika2303-17512016-11-015415616310.24843/MTK.2016.v05.i04.p13525316PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKAI GUSTI AYU MITA ERMIA SARI0KOMANG DHARMAWAN1TJOKORDA BAGUS OKA2Faculty of Mathematics and Natural Sciences, Udayana UniversityFaculty of Mathematics and Natural Sciences, Udayana UniversityFaculty of Mathematics and Natural Sciences, Udayana UniversityBinomial tree is a method that can be used to determine price option contracts. In this method, the stock price movement is presented in the form of a tree with each branch representing the probability of the stock price to move up or move down. The purpose of this paper was to determine the price of the options contracts with the American type on Binomial Tree method and compare the three methods that is variance matching, proportional , and risk neutral of determining the value of price option contracts used in Binomial Tree method with Black-Schole method. The result of this research was the value of the options contract using the variance matching more similar with the value of the Black-Scholes contract.https://ojs.unud.ac.id/index.php/mtk/article/view/25316Binomial TreeAmerican optionsVariance MatchingBlack-Shcole |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
I GUSTI AYU MITA ERMIA SARI KOMANG DHARMAWAN TJOKORDA BAGUS OKA |
spellingShingle |
I GUSTI AYU MITA ERMIA SARI KOMANG DHARMAWAN TJOKORDA BAGUS OKA PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA E-Jurnal Matematika Binomial Tree American options Variance Matching Black-Shcole |
author_facet |
I GUSTI AYU MITA ERMIA SARI KOMANG DHARMAWAN TJOKORDA BAGUS OKA |
author_sort |
I GUSTI AYU MITA ERMIA SARI |
title |
PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA |
title_short |
PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA |
title_full |
PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA |
title_fullStr |
PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA |
title_full_unstemmed |
PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA |
title_sort |
penerapan metode binomial tree dalam mengestimasi harga kontrak opsi tipe amerika |
publisher |
Universitas Udayana |
series |
E-Jurnal Matematika |
issn |
2303-1751 |
publishDate |
2016-11-01 |
description |
Binomial tree is a method that can be used to determine price option contracts. In this method, the stock price movement is presented in the form of a tree with each branch representing the probability of the stock price to move up or move down. The purpose of this paper was to determine the price of the options contracts with the American type on Binomial Tree method and compare the three methods that is variance matching, proportional , and risk neutral of determining the value of price option contracts used in Binomial Tree method with Black-Schole method. The result of this research was the value of the options contract using the variance matching more similar with the value of the Black-Scholes contract. |
topic |
Binomial Tree American options Variance Matching Black-Shcole |
url |
https://ojs.unud.ac.id/index.php/mtk/article/view/25316 |
work_keys_str_mv |
AT igustiayumitaermiasari penerapanmetodebinomialtreedalammengestimasihargakontrakopsitipeamerika AT komangdharmawan penerapanmetodebinomialtreedalammengestimasihargakontrakopsitipeamerika AT tjokordabagusoka penerapanmetodebinomialtreedalammengestimasihargakontrakopsitipeamerika |
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1716771138756935680 |