Metode Martingale Dalam Penentuan Harga Opsi Tipe Eropa Dengan Menggunakan Pendekatan Waktu Kontinu Pada Pasar (B,S)
ABSTRACT This thesis study about financial mathematics, especially about the theory of pricing of options of European type with continuosly in time. It is assumed that a (B,S) market is operating continuously in time. The riskless bank account B + (Bt)to is evolving according to the "compound i...
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| 格式: | Article NonPeerReviewed |
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[Yogyakarta] : Universitas Gadjah Mada
2003
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| 在線閱讀: | https://repository.ugm.ac.id/27176/ http://i-lib.ugm.ac.id/jurnal/download.php?dataId=10228 |
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| 總結: | ABSTRACT
This thesis study about financial mathematics, especially about the theory of pricing of options of European type with continuosly in time. It is assumed that a (B,S) market is operating continuously in time. The riskless bank account B + (Bt)to is evolving according to the "compound interests" formula, and a risky stock price S = (St) to is governed by geometric Brownian Motion. The "martingale" pricing theory is presented for rational option price, hedging strategies, and rational expiration fifties.
Keywords : options, geometric Brownian Motion, martingale measure |
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