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Endang Rusyaman
Departemen Matematika FMIPA Universitas Padjadjaran
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Journal : international journal of quantitative research and modeling

 1 
Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation Abiodun Ezekiel Owoyemi; Ira Sumiati; Endang Rusyaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol 1, No 4 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (795.059 KB) | DOI: 10.46336/ijqrm.v1i4.83

Abstract

Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the economic and financial fields. Laplace decomposition method is one of the reliable and effective numerical methods for solving fractional differential equations. Thus, this paper aims to apply the Laplace decomposition method for solving the fractional Black-Scholes equation, where the fractional derivative used is the Caputo sense. Two numerical illustrations are presented in this paper. The results show that the Laplace decomposition method is an efficient, easy and very useful method for finding solutions of fractional Black-Scholes partial differential equations and boundary conditions for European option pricing problems.
THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX Endang Soeryana Hasbullah; Endang Rusyaman; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol 1, No 1 (2020)
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (372.5 KB) | DOI: 10.46336/ijqrm.v1i1.3

Abstract

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.
THE GARCH MODEL VOLATILITY OF SHARIA STOCKS ASSOCIATED CAUSALITY WITH MARKET INDEX Endang Soeryana Hasbullah; Endang Rusyaman; Alit Kartiwa
International Journal of Quantitative Research and Modeling Vol. 1 No. 1 (2020): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v1i1.3

Abstract

The purpose of this paper is to examine the volatility of Islamic stocks related to the causality of the composite stock price index (CSPI). The aim is to investigate the causality of several levels of stock returns with the movement of the CSPI, and determine its volatility as a measure of risk. To determine the causality relationship is done by using the granger causality test method, with Vector Autoregressive (VAR) modeling. Whereas to determine the volatility is done using the Generalized Autoregressive Conditional Heteroscedastisiy (GARCH) model approach. The results of the causality test show that there is a direct relationship that affects and is influenced by the CSPI, and the relationship that affects each other between the company's stock market and the movement of the CSPI. While the volatility follows the GARCH model (1, 1). Based on the results of this study are expected to be used as consideration in making investment decisions in the analyzed stocks.
Laplace Decomposition Method for Solving Fractional Black-Scholes European Option Pricing Equation Abiodun Ezekiel Owoyemi; Ira Sumiati; Endang Rusyaman; Sukono Sukono
International Journal of Quantitative Research and Modeling Vol. 1 No. 4 (2020): International Journal of Quantitative Research and Modeling
Publisher : Research Collaboration Community (RCC)

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.46336/ijqrm.v1i4.83

Abstract

Fractional calculus is related to derivatives and integrals with the order is not an integer. Fractional Black-Scholes partial differential equation to determine the price of European-type call options is an application of fractional calculus in the economic and financial fields. Laplace decomposition method is one of the reliable and effective numerical methods for solving fractional differential equations. Thus, this paper aims to apply the Laplace decomposition method for solving the fractional Black-Scholes equation, where the fractional derivative used is the Caputo sense. Two numerical illustrations are presented in this paper. The results show that the Laplace decomposition method is an efficient, easy and very useful method for finding solutions of fractional Black-Scholes partial differential equations and boundary conditions for European option pricing problems.
Co-Authors Abiodun Ezekiel Owoyemi Alit Kartiwa Amelia Anjang Risara Vilinea Annisa Nur Falah, Annisa Nur Asep Kuswandi Supriatna Ashgi, Rizky Azis, Chusnul Chatimah Azril Balqis, Viona P Betty Subartini Budi Nurani Ruchjana Deny I. Rakhmatullah Devi Munandar, Devi Diah Chaerani Dian Nuryani Diana Ekanurnia Dianne Amor Kusuma Dihna, Elza Rahma Dody Jesaya Sinaga Eddy Djauhari Edi Kurniadi Elis Hertini Ema Carnia Endang Soeryana Hasbullah Erick Paulus Fikri, Faiqul Firdaniza Firdaniza Gani Gunawan Ghiffari, Alif Muhamad Ira Sumiati Irmansyah, Athaya Zahrani Ismail Bin Mohd Johar, Dwindi Agryanti Julita Nahar Jumadil Saputra Kankan Parmikanti Melda Noereast Talytha Muhammad Deni Johansyah Muslihin, Khoirunnisa R A Mustafa Mamat Nabila Hasna Naufal Badruzzaman Naufal Badruzzaman Nirbhaya Salsabila NUR HAMID Nursanti Anggriani Nurul Gusriani Pipih Aprianita Robbi, Muttaqien Rodhiya Rustam Effendy Siregar Siswahyudianto Sukono Sukono Sunarta Susanto Tomy Perdana Wildan Rachman Gumelar Yuningsih, Siti Hadiaty Yuyun Hidayat Zahrani Irmansyah, Athaya