PRICING FINANCIAL OPTION AS A MULTI-OBJEKTIF OPTIMIZATION PROBLEM USING SPIRAL OPTIMIZATION

• Main Author: Dwi Ismanto, Rido
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/39190
• Institution: Institut Teknologi Bandung

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.