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Please use this identifier to cite or link to this item: https://repository.uksw.edu/handle/123456789/1008
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dc.contributor.authorNugroho, Didit Budi
dc.date.accessioned2012-12-03T01:04:02Z
dc.date.available2012-12-03T01:04:02Z
dc.date.issued2007-02
dc.identifier.issn1693-8348
dc.identifier.urihttp://repository.uksw.edu/handle/123456789/1008
dc.descriptionAiti : Jurnal Teknologi Informasi, Vol. 4, No. 1, Februari 2007, p. 30-40id
dc.description.abstractThe general problem in pricing option is determining volatility from the market price, called the implied volatility. This article presents numerical solutions to pricing option using bisection and Newton-Raphson methods. MATLAB programs are given that implement the above methods for computing the implied volatility. Calculating the implied volatility for call and put on ERIC B stock with different maturities shows that the implied volatility is time–dependent, and the volatility curve is “smile”. Volatility value obtained for Bid is always less than Ask for each strike price.en_US
dc.language.isoiden_US
dc.publisherFakultas Teknologi Informasi UKSWid
dc.subjectimplied volatilityen_US
dc.subjectEuropean optionen_US
dc.subjectbisectionen_US
dc.subjectNewton Raphson methoden_US
dc.subjectMATLABen_US
dc.titleMetode Newton-Raphson dan Bagi Dua untuk Menghitung Implied Volatility dari Suatu Aset (Studi Kasus: Opsi Call dan Put pada ERIC B yang Expiry Tahun 2007)id
dc.typeArticleen_US
Appears in Collections:Aiti 2007 Vol. 4 No. 1 Februari



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