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...
محفوظ في:
| المؤلفون الرئيسيون: | , |
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| التنسيق: | Theses and Dissertations NonPeerReviewed |
| منشور في: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | 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 |
| الوسوم: |
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| المؤسسة: | Universitas Gadjah Mada |
| الملخص: | 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. |
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