THE INFLUENCE OF VOLATILITY FOR EUROPEAN OPTION PRICING WITH BINOMIAL METHOD

• Main Author: HUSNUL KHOTIMAH, TIARA
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/19555
• Institution: Institut Teknologi Bandung

binomial, binomial log-transformed, model heteroskedastik, opsi Eropa, volatilitas Option is one of investment types attracted many investors. Some factors that involve in option pricing are stock price (St), strike price (K), maturity time, volatility (t), interest rate (r), and dividends. In this thesis, we investigate the in uence of volatility for European option pricing which is modeled by standard and log- transformed binomial. Volatility has become interesting to discuss because we have generally assumed constant volatility for option pricing. However, volatility in fact always changes over time. In doing so, we consider several volatility models such as ARCH (1), GARCH (1,1) and GJR-GARCH (1,1) and show appropriate model for volatility forecast and option pricing. It is found that log-transformed binomial model provides more stable value for option price and GJR-GARCH(1,1) model is preferred. binomial, binomial log-transformed, model heteroskedastik, opsi Eropa, volatilitas