PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM

PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM

Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the etimated volatility from a market mechanism t...

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Bibliographic Details
Main Authors: IDA AYU EGA RAHAYUNI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI
Format: Article
Language:English
Published: Universitas Udayana 2016-01-01
Series:E-Jurnal Matematika
Subjects:
Black-Scholes
Implied Volatility
Newton-Raphson Method
Secant Method
Bisection Method
Online Access:https://ojs.unud.ac.id/index.php/mtk/article/view/18714

Internet

https://ojs.unud.ac.id/index.php/mtk/article/view/18714

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