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I GUSTI AYU MITA ERMIA SARI
Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics

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PENERAPAN METODE BINOMIAL TREE DALAM MENGESTIMASI HARGA KONTRAK OPSI TIPE AMERIKA I GUSTI AYU MITA ERMIA SARI; KOMANG DHARMAWAN; TJOKORDA BAGUS OKA
E-Jurnal Matematika Vol 5 No 4 (2016)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2016.v05.i04.p135

Abstract

Binomial tree is a method that can be used to determine price option contracts. In this method, the stock price movement is presented in the form of a  tree with each branch representing the probability of the stock price to move up or move down. The purpose of this paper was to determine the price of the options contracts with the American type on Binomial Tree method and compare the three methods that is variance matching, proportional , and risk neutral of determining the value of price option contracts used in Binomial Tree method with Black-Schole method. The result of this research was the value of the options contract using the variance matching more similar with the value of the Black-Scholes contract.
Co-Authors Komang Dharmawan Tjokorda Bagus Oka