TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA
This thesis presents repeated Richardson extrapolation for pricing American put option. We apply Richardson extrapolation on the sequence of approximation of option value for accelerating the rate of its convergence. First, we define the sequence of approximation using flexible binomial model. A num...
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[Yogyakarta] : Universitas Gadjah Mada
2013
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Online Access: | https://repository.ugm.ac.id/125692/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65865 |
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id-ugm-repo.1256922016-03-04T08:24:23Z https://repository.ugm.ac.id/125692/ TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA , ARUM HANDINI PRIMANDARI , Dr. Abdurakhman, S.Si, M.Si. ETD This thesis presents repeated Richardson extrapolation for pricing American put option. We apply Richardson extrapolation on the sequence of approximation of option value for accelerating the rate of its convergence. First, we define the sequence of approximation using flexible binomial model. A number of time step used in this scheme are based on the stepsize characterized by sequence of integers. Second, we extrapolate the sequence of approximation repeatedly. As the result, repeated Richardson extrapolation technique works on flexible binomial model can be used to accelerate the sequence of approximation produced by this scheme so that we merely need a less of time step for pricing option. [Yogyakarta] : Universitas Gadjah Mada 2013 Thesis NonPeerReviewed , ARUM HANDINI PRIMANDARI and , Dr. Abdurakhman, S.Si, M.Si. (2013) TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA. UNSPECIFIED thesis, UNSPECIFIED. http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65865 |
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ETD , ARUM HANDINI PRIMANDARI , Dr. Abdurakhman, S.Si, M.Si. TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
description |
This thesis presents repeated Richardson extrapolation for pricing
American put option. We apply Richardson extrapolation on the sequence of
approximation of option value for accelerating the rate of its convergence. First,
we define the sequence of approximation using flexible binomial model. A
number of time step used in this scheme are based on the stepsize characterized by
sequence of integers. Second, we extrapolate the sequence of approximation
repeatedly. As the result, repeated Richardson extrapolation technique works on
flexible binomial model can be used to accelerate the sequence of approximation
produced by this scheme so that we merely need a less of time step for pricing
option. |
format |
Theses and Dissertations NonPeerReviewed |
author |
, ARUM HANDINI PRIMANDARI , Dr. Abdurakhman, S.Si, M.Si. |
author_facet |
, ARUM HANDINI PRIMANDARI , Dr. Abdurakhman, S.Si, M.Si. |
author_sort |
, ARUM HANDINI PRIMANDARI |
title |
TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
title_short |
TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
title_full |
TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
title_fullStr |
TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
title_full_unstemmed |
TEKNIK EKSTRAPOLASI RICHARDSON BERULANG PADA MODEL BINOMIAL FLEKSIBEL UNTUK MENENTUKAN HARGA OPSI JUAL AMERIKA |
title_sort |
teknik ekstrapolasi richardson berulang pada model binomial fleksibel untuk menentukan harga opsi jual amerika |
publisher |
[Yogyakarta] : Universitas Gadjah Mada |
publishDate |
2013 |
url |
https://repository.ugm.ac.id/125692/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65865 |
_version_ |
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