PENENTUAN HARGA OPSI CALL TIPE EROPA MENGGUNAKAN METODE TRINOMIAL

Authors

  • Mika Alvionita
  • Riri Lestari

DOI:

https://doi.org/10.25077/jmu.5.1.131-139.2016

Abstract

Abstrak. Dalam makalah ini akan dibahas opsi call tipe Eropa menggunakan metode
trinomial. Metode trinomial memiliki perubahan harga saham yang dipengaruhi oleh
koesien naik turun yang relatif sama dengan suku bunga. Permasalahan yang timbul
dalam metode ini adalah persamaan linier yang digunakan overdetermined. Persamaan
yang overdetermined diselesaikan dengan menggunakan invers semu (pseudoinverse).

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Published

01-03-2016

Issue

Vol. 5 No. 1 (2016)

Section

Articles

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