AZIZ, ABDUL and Wahyudi, Wahyudi (2014) Perbandingan Metode Beda hingga pada Perhitungan Harga Opsi Asia. In: Prosiding Seminar Nasional MIPA 2014, Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Padjadjaran.
![[img]](http://eprints.umpo.ac.id/style/images/fileicons/text.png) |
Text
COVER Prosiding Semnas MIPA UNPAD 2014.compressed.pdf Download (240kB) |
Abstract
Option is a contract between two parties, one party entitles the other party to buy or sell an asset at a price and time that has been agreed previously. There are two types of option, namely call option and put option. Call option is the right to buy an asset at a certain price and time while a put option is the right to sell an asset at a specific price and time. Finite difference methods are methods that are used to approximate a differential equation. The method used in this study is the implicit, explicit and Crank-Nicholson. This study aims to determine the results of a comparative analysis of implicit finite difference methods, explicit, and Crank-Nicholson at the Asian option price calculation. From the research that has been done, it can be seen that in this case the methods that can be used to determine the price of the Asian option are an implicit finite difference method and Crank-Nicholson. The more effective in determining the price of the Asean option is a finite difference method of Crank-Nicholson, because this method provides optimal results compared with the implicit finite difference method.
| Item Type: | Conference or Workshop Item (Paper) |
|---|---|
| Uncontrolled Keywords: | finite different method, Crank-Nicholson, option pricing, Asian option |
| Subjects: | Q Science > Q Science (General) |
| Depositing User: | Library Umpo |
| Date Deposited: | 28 Jul 2020 06:28 |
| Last Modified: | 28 Jul 2020 06:34 |
| URI: | http://eprints.umpo.ac.id/id/eprint/5330 |
Actions (login required)
 |
View Item |
