Wahyudi, Wahyudi (2019) Analisis Lanjut Metode Beda Hingga Eksplisit Untuk Menentukan Harga Opsi. Jurnal UJMC, 5 (1). pp. 41-46. ISSN 2460-3333
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Abstract
Explicit finite difference method is used to approximate a partial differential equation that is applied to determine the option pricing. The results of this study note that the calculation of option pricing using explicit finite difference method is negative when partition N 25 with a value of -2.21. Thus, the results of the calculation of option pricing are not convergent and away from the results of analyzing the option pricirng (Black-Scholes) solution. This is because one of the three probabilities 2 2 1 j b j t is negative, namely (-0.12) when j 12 with S 16.25 (in units). So this explicit finite difference method cannot be used to determine the option pricing. Keywords: Option Pricing, Explicit Finite Difference Method
| Item Type: | Article |
|---|---|
| Subjects: | L Education > L Education (General) Q Science > QA Mathematics |
| Depositing User: | Library Umpo |
| Date Deposited: | 05 Jul 2019 07:21 |
| Last Modified: | 05 Jul 2019 07:21 |
| URI: | http://eprints.umpo.ac.id/id/eprint/4902 |
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