PENENTUAN HARGA OPSI BARRIER DISKRIT MENGGUNAKAN MODEL ADAPTIVE MESH
A barrier option is an option that its payo depending on whether the underlying asset's price reaches a certain price level H called "barrier". Analytically, to price single barrier option, we assume that the asset price is continuously monitored. But in the market, the asset price...
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| Format: | Final Project |
| Language: | Indonesia |
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| Online Access: | https://digilib.itb.ac.id/gdl/view/34008 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | A barrier option is an option that its payo depending on whether the underlying
asset's price reaches a certain price level H called "barrier". Analytically, to price
single barrier option, we assume that the asset price is continuously monitored. But
in the market, the asset price is discretely monitored and there is no close-form
solution.
In this nal project, Adaptive Mesh Model as a numerical method is used to price
discrete barrier option. Not only to price discrete single barrier option, but also to
price discrete double barrier option. Besides, we compare Adaptive Mesh Model with
tree lattice methods (Hull's trinomial lattice) and quadrature method in accuracy. |
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