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All Journal Jurnal Ilmiah Teknologi dan Rekayasa Journal of Actuarial, Finance, and Risk Managment
Antoro, Srava Chrisdes
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Automotive Engineering Computer Science & IT Economics, Econometrics & Finance Electrical & Electronics Engineering Industrial & Manufacturing Engineering Materials Science & Nanotechnology Mathematics

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RAINBOW CONNECTION AND STRONG RAINBOW CONNECTION NUMBERS OF Antoro, Srava Chrisdes
Jurnal Ilmiah Teknologi dan Rekayasa Vol 21, No 2 (2016)
Publisher : Universitas Gunadarma

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Abstract

A rainbow path in an edge coloring of graph  is a path in which every two edges are assigned different colors. If a nontrivial connected graph  contains a rainbow path for every two vertices in , then  is rainbow-connected. The rainbow connection number  of  is the minimum integer  such that  is rainbow connnected in an edge-coloring with  colors. If a nontrivial connected  contains a rainbow path  geodesic for every two vertices in , then  is strongly rainbow-connected. The strong rainbow connection number  of  is the minimum integer  such that  is strongly rainbow-connected in an edge coloring with  colors. The rainbow connection and strong rainbow connection number of graph , , and  have been found. In this paper, the results will be generalized and the rainbow connection and strong rainbow connection number of graph  will be determined. Keywords: rainbow coloring, rainbow connection number, strong rainbow coloring, strong rainbow connection number, graph
Pricing Asian Options on BBCA Stocks: A Binomial and Black-Scholes Approach Antoro, Srava Chrisdes; Irsan, Maria Yus Trinity
Journal of Actuarial, Finance, and Risk Management Vol 4, No 1 (2025)
Publisher : President University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.33021/jafrm.v4i1.6241

Abstract

This paper aims to evaluate the pricing of Asian options using two widely recognized methods: the Binomial Option Pricing Model and the Black-Scholes Model. Asian options are a form of exotic options where the payoff depends on the average price of the underlying asset over a specified period, reducing the impact of market volatility compared to standard European or American options. The research focuses on BBCA (Bank Central Asia) stock data over a two-month period from September to November 2024. The study uses the arithmetic average for the binomial model and the geometric average for the Black-Scholes model. Essential financial parameters such as risk-free interest rate, volatility, and strike prices are determined based on real market data and standard assumptions. The binomial model offers a numerical approach through discrete time intervals, while the Black-Scholes model provides a closed-form analytical solution. Results show that the call option prices from the binomial and Black-Scholes models are 1,228.79 and 1,272.02 respectively, with a Mean Absolute Percentage Error (MAPE) of 3.52%. For the put options, the binomial and Black-Scholes prices are 1,754.46 and 1,711.21, respectively, with a MAPE of 2.46%. These low error rates suggest that both models can accurately estimate Asian option values. The study concludes that both the binomial and Black-Scholes models are effective tools for pricing Asian options on BBCA stock, offering comparable results with minimal deviation. This finding supports the use of these models in financial decision-making for exotic options in the Indonesian market
Co-Authors Irsan, Maria Yus Trinity