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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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| 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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