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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Main Author: EVITA DEWI (NIM: 20107008), KANIA
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/12300
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:12300
spelling 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
building Institut Teknologi Bandung Library
continent Asia
country Indonesia
Indonesia
content_provider Institut Teknologi Bandung
collection Digital ITB
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
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