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Komputasi harga opsi eropa dengan metoda elemen hingga

Many numerical methods have been discussed to pricing the option, such as
binomial, Monte Carlo, and finite difference. In this paper, the finite element method
to determine the price of option and delta hedging problems will be discussed. This
paper provides an introduction to basic ideas and concepts of this method. This
paper not only proposes algorithms founded by Galerkin and Crank-Nicolson to
solve partial differential equation uSing finite elements but also concludes that
Galerkin method has the best accuracy for finding opsi put European pricing option
compared with otller methods and Crank-Nicolson method is tile best for finding for
delta hedging.

Ketersediaan

Informasi Detail

Judul Seri

JURNAL ILMIAH ILMU KOMPUTER;Vol.5 No.3 September 2007

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p.163-173

Bahasa

Indonesia

ISBN/ISSN

-

Klasifikasi

-

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

-

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Liem Chin

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