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PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON- LINEAR BLACK- SCHOLES

Drs. G.K. Gandhiadi,M.T, G.K. Gandhiadi (2016) PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON- LINEAR BLACK- SCHOLES. E-JURNAL MATEMATIKA - Jurusan Matematika, Fakultas MIPA Universitas Udayana, 5. ISSN 2303-1751

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Abstract

Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned. Many methods are used to determine the price of option, one of them by using the Black-Scholes equation. But its use these in the assumption that the value for the constant volatility. On market assumption are not appropriates, so many researchers proposed using a volatility calculation option that is non-constant Black-Scholes equation modelled using the volatility is not constant in the range so as to produce a non-linear equation of Black-Scholes. In addition to determine the value of hedge ratio. On completions of this study, for the numerical solution of non-linear Black-Scholes equation using method of explicit finite difference scheme. Option use in research us a stock YAHOO!inc. as the underlying asset. The result showed that the price of the option is calculated using non-linear Black- Scholes equation price close on the market. Therefore, it can produce hedge ration for a risk-free portfolio containing of the option and stock. Keywords: Black-Scholes, Implied Volatility, non-linear Black-Scholes, hedge ration, finite difference methods, explicit scheme

Item Type: Article
Uncontrolled Keywords: -
Subjects: L Education > L Education (General)
Divisions: Faculty of Law, Arts and Social Sciences > School of Education
Depositing User: Mr. Repository Admin
Date Deposited: 07 Jun 2016 21:58
Last Modified: 21 Jun 2016 05:58
URI: http://erepo.unud.ac.id/id/eprint/4325

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