PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA
ABSTRACT: Binomial tree is a
method that can be used to determine price option contracts. In this method,
the stock price movement is presented in the form of a tree with each branch
representing the probability of the stock price to move up or move down. The
purpose of this paper was to determine the price of the options contracts with
the American type on Binomial Tree method and compare the three methods that is
variance matching, proportional , and risk neutral of determining the value of
price option contracts used in Binomial Tree method with Black-Schole method.
The result of thisresearch was the value of the options contract using the
variance matching more similar with the value of the Black-Scholes contract.
Penulis: I Gusti Ayu Mita
Ermia Sar, Komang Dharmawan, Tjokorda Bagus Oka
Kode Jurnal: jpmatematikadd160168
