PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES

E-Jurnal Matematika

KOMANG DHARMAWAN¹  PUTU AYU DENI¹  G. K. GANDHIADI¹ 

[1] Faculty of Mathematics and Natural Sciences, Udayana University;

关键词: Black-Scholes;    Implied Volatility;    non-linear Black-Scholes;    hedge ration;    finite difference methods;    explicit scheme;   

DOI  :  10.24843/MTK.2016.v05.i01.p117

来源: DOAJ

【 摘 要 】

Option are contracts that give the right to sell and buy the asset at a price and a certain period of time. In addition investors use option as a means of hedge against asset owned. Many methods are used to determine the price of option, one of them by using the Black-Scholes equation. But its use these in the assumption that the value for the constant volatility. On market assumption are not appropriates, so many researchers proposed using a volatility calculation option that is non-constant Black-Scholes equation modelled using the volatility is not constant in the range so as to produce a non-linear equation of  Black-Scholes. In addition to determine the value of hedge ratio. On completions of this study, for the numerical solution of non-linear Black-Scholes equation using method of explicit finite difference scheme. Option use in research us a stock YAHOO!inc. as the underlying asset. The result showed that the price of the option is calculated using non-linear Black-Scholes equation price close on the market. Therefore, it can produce hedge ration for a risk-free portfolio containing of the option and stock.

【 授权许可】

Unknown