ON THE CALCULATION OF IMPLIED VOLATILITY
This study is intended to calculate implied volatility of a stock by genetic algorithm and Newton-Raphson method. Genetic algorithm, a method of solving optimization problem, does not require the characteristic of function to solve, it can solve many mathematic problems as long as they can be change...
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| 機構: | Institut Teknologi Bandung |
| 語言: | Indonesia |
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id-itb.:123002017-09-27T14:41:46ZON THE CALCULATION OF IMPLIED VOLATILITY EVITA DEWI (NIM: 20107008), KANIA Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/12300 This study is intended to calculate implied volatility of a stock by genetic algorithm and Newton-Raphson method. Genetic algorithm, a method of solving optimization problem, does not require the characteristic of function to solve, it can solve many mathematic problems as long as they can be changed into optimization problem. In this study, the result of calculation of genetic algorithm is compared to that of Newton-Raphson method. text |
| institution |
Institut Teknologi Bandung |
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Institut Teknologi Bandung Library |
| continent |
Asia |
| country |
Indonesia Indonesia |
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Institut Teknologi Bandung |
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| language |
Indonesia |
| description |
This study is intended to calculate implied volatility of a stock by genetic algorithm and Newton-Raphson method. Genetic algorithm, a method of solving optimization problem, does not require the characteristic of function to solve, it can solve many mathematic problems as long as they can be changed into optimization problem. In this study, the result of calculation of genetic algorithm is compared to that of Newton-Raphson method. |
| format |
Theses |
| author |
EVITA DEWI (NIM: 20107008), KANIA |
| spellingShingle |
EVITA DEWI (NIM: 20107008), KANIA ON THE CALCULATION OF IMPLIED VOLATILITY |
| author_facet |
EVITA DEWI (NIM: 20107008), KANIA |
| author_sort |
EVITA DEWI (NIM: 20107008), KANIA |
| title |
ON THE CALCULATION OF IMPLIED VOLATILITY |
| title_short |
ON THE CALCULATION OF IMPLIED VOLATILITY |
| title_full |
ON THE CALCULATION OF IMPLIED VOLATILITY |
| title_fullStr |
ON THE CALCULATION OF IMPLIED VOLATILITY |
| title_full_unstemmed |
ON THE CALCULATION OF IMPLIED VOLATILITY |
| title_sort |
on the calculation of implied volatility |
| url |
https://digilib.itb.ac.id/gdl/view/12300 |
| _version_ |
1825533384686829568 |