INTERPOLATION METHOD FOR PRICING PATH DEPENDENT OPTIONS
Option is a financial contract which gives the rights to the holder for buying or selling assets on the strike price at the maturity time. The accuracy and efficiency calculation of option pricing is extremely important for the writers. In pricing options, differential partial equation model is comm...
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| Main Author: | |
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/22580 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Option is a financial contract which gives the rights to the holder for buying or selling assets on the strike price at the maturity time. The accuracy and efficiency calculation of option pricing is extremely important for the writers. In pricing options, differential partial equation model is commonly used by solving the equation analytically. Lattice method could be used to get the numerical solution, but it convergence took a lot of computational time. In this final project, Lagrange and Cubic Spline interpolation method are used to calculate price of path-dependent options. Those methods were used for reducing the computation time of lattice method. So, we can get the efficiency of option <br />
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