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All Journal Jurnal Pengajaran MIPA Journal on Mathematics Education (JME) Journal on Mathematics Education (JME) Jurnal Pengajaran Matematika dan Ilmu Pengetahuan Alam Jurnal Online Pendidikan Matematika Kontemporer EurekaMatika (Jurnal Online Matematika S1) Indonesian Journal of Science and Technology Jurnal Elemen Jurnal Fourier Journal of Research and Advances in Mathematics Education QALAMUNA: Jurnal Pendidikan, Sosial, dan Agama International Research Journal of Business Studies (E-Journal) Jurnal Kiprah Jurnal Ilmiah Matematika dan Pendidikan Matematika (JMP) InPrime: Indonesian Journal Of Pure And Applied Mathematics Jurnal Eurekamatika JRAMathEdu (Journal of Research and Advances in Mathematics Education) International Research Journal of Business Studies Journal on Mathematics Education
Ririn Sispiyati
Universitas Pendidikan Indonesia
Arts Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Environmental Science Industrial & Manufacturing Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Convergence Numerically of Trinomial Model in European Option Pricing Puspita, Entit; Agustina, Fitriani; Sispiyati, Ririn
International Research Journal of Business Studies Vol. 6 No. 3 (2013): December 2013 - March 2014
Publisher : Universitas Prasetiya Mulya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21632/irjbs.6.3.195-201

Abstract

A European option is a financial contract which gives its holder a right (but not an obligation) to buy or sell an underlying asset from writer at the time of expiry for a pre-determined price. The continuous European options pricing model is given by the Black-Scholes. The discrete model can be priced using the lattice models ih here we use trinomial model. We define the error simply as the difference between the trinomial approximation and the value computed by the Black-Scholes formula. An interesting characteristic about error is how to realize convergence of trinomial model option pricing to Black-Scholes option pricing. In this case we observe the convergence of Boyle trinomial model and trinomial model that built with Cox Ross Rubenstein theory.
Co-Authors Adiwibawa, Muhammad Hilman Andri Novianto Ashilah Azmii, Yusyifa Az-Zahra, Fatimah Cangra Nalika Khadijah Cece Kustiawan Chin, Kin Eng Della Annisa Zahra Dian Usdiyana Elah Nurlaelah Entit puspita Fatimah, Siti Fifih Nurafifah Firdaus, Ivan Luckiyana Fitri Rokhmatillah Fitriani agustina Kartika Yulianti Kin Eng Chin Kurniasih, Firda Muhammad Fakhri Naufal Nurafiah, Fifih Rini Marwati Rizky Rosjanuardi Rokhmatillah, Fitri Sadiyyah, Fitriani Halimatus Wita Aprialita