PENGGUNAAN RATA-RATA ARITMETIKA DENGAN APPROKSIMASI CURRAN DALAM MENENTUKAN HARGA OPSI ASIA

Authors

  • Steffany Harwella

DOI:

https://doi.org/10.25077/jmu.3.4.70-77.2014

Abstract

Opsi Asia adalah opsi dimana payoff bergantung pada rata-rata harga aset
selama opsi tersebut berlaku. Dalam menentukan harga opsi Asia dapat digunakan ratarata aritmatika. Ketika harga saham berdistribusi lognormal, maka rata-rata aritmatika
harga sahamnya tidak berdistribusi lognormal. Hal ini mengakibatkan dalam menentukan harga opsi Asia tidak dapat menggunakan model black-Scholes maka perlu dilakukan aproksimasi. Salah satu metode aproksimasi yang bisa dilakukan adalah aproksimasi Curran yang merupakan penentuan opsi Asia menggunakan rata-rata aritmatika
melalui pendekatan rata-rata geometrik.

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Published

01-12-2014

Issue

Vol. 3 No. 4 (2014)

Section

Articles

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