Analisis Lanjut Metode Beda Hingga Eksplisit Untuk Menentukan Harga Opsi

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:	https://eprints.umpo.ac.id/id/eprint/4902

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