UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING

UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING

On this thesis, the option is calculated by using the Gram-Charlier expansion, which the Gram-Charlier expansion to approximate the density function of stock price returns. The results of this approximation is used to calculate the implied volatility by strike price and maturity time. In addition, t...

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Main Author: (NIM : 20110020), MAULIDDIN
Format: Theses
Language:Indonesia
Online Access:https://digilib.itb.ac.id/gdl/view/16400
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Institution: Institut Teknologi Bandung
Language: Indonesia
id id-itb.:16400
spelling id-itb.:164002017-09-27T14:41:42ZUTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING (NIM : 20110020), MAULIDDIN Indonesia Theses INSTITUT TEKNOLOGI BANDUNG https://digilib.itb.ac.id/gdl/view/16400 On this thesis, the option is calculated by using the Gram-Charlier expansion, which the Gram-Charlier expansion to approximate the density function of stock price returns. The results of this approximation is used to calculate the implied volatility by strike price and maturity time. In addition, the skewness and kurtosis as an element in the Gram-Charlier expansion is also calculated to find out how big the impact on option pricing. Evidence suggests that option pricing using Gram-Charlier expansion different from the Black-Scholes formula. 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 On this thesis, the option is calculated by using the Gram-Charlier expansion, which the Gram-Charlier expansion to approximate the density function of stock price returns. The results of this approximation is used to calculate the implied volatility by strike price and maturity time. In addition, the skewness and kurtosis as an element in the Gram-Charlier expansion is also calculated to find out how big the impact on option pricing. Evidence suggests that option pricing using Gram-Charlier expansion different from the Black-Scholes formula.
format Theses
author (NIM : 20110020), MAULIDDIN
spellingShingle (NIM : 20110020), MAULIDDIN
UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
author_facet (NIM : 20110020), MAULIDDIN
author_sort (NIM : 20110020), MAULIDDIN
title UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
title_short UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
title_full UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
title_fullStr UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
title_full_unstemmed UTILIZATION OF GRAM-CHARLIER EXPANSIONS ON OPTION PRICING
title_sort utilization of gram-charlier expansions on option pricing
url https://digilib.itb.ac.id/gdl/view/16400
_version_ 1820745365918318592

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