PRICING FINANCIAL OPTION AS A MULTI-OBJEKTIF OPTIMIZATION PROBLEM USING SPIRAL OPTIMIZATION
Options are derivative products from shares. The type of option that is lowered depends on the features of the option. The more features, the harder it is to determine its value. Therefore, an unusual method is needed to determine the price of an option. One approach that has never been used to d...
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| Format: | Theses |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/39190 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | Options are derivative products from shares. The type of option that is lowered
depends on the features of the option. The more features, the harder it is to
determine its value. Therefore, an unusual method is needed to determine the price
of an option. One approach that has never been used to determine option prices is
optimization. The nature of options naturally raises intuition to make payoff and the
opportunity to reach the payoff as two objectives, while bringing this problem into
a multi-objective optimization problem. Next, a metaheuristic algorithm will be
used to solve the problem. The algorithm chosen is a spiral optimization algorithm
which is the latest metaheuristic algorithm. Based on the experiments that have been
carried out, Pareto front as a solution to multi-objective problems was successfully
built. Then, based on the Pareto front, using a strategy to evaluate the risk level of
an option, the right payoff for the option price can be determined with a better result
than the Black-Merton Scholes formula. |
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