scholarly journals PENENTUAN HARGA OPSI CALL WINDOW RESET MENGGUNAKAN METODE BINOMIAL TREE DAN TRINOMIAL TREE

2016 ◽  
Vol 15 (2) ◽  
pp. 23
Author(s):  
R. MELIYANI ◽  
E. H. NUGRAHANI ◽  
D. C. LESMANA
Keyword(s):  
Binomial Tree ◽  
Trinomial Tree ◽  
Path Dependent

Opsi window reset merupakan salah satu jenis opsi yang bersifat path- dependent sehingga nilai opsi tersebut tidak mempunyai rumus eksak. Oleh karena itu, dibutuhkan metode numerik untuk menentukan nilainya. Penelitian ini membahas tentang penentuan harga opsi call window reset dengan menggunakan salah satu metode numerik. Jenis metode numerik tersebut, yakni metode tree yang terdiri dari binomial tree dan trinomial tree. Jika harga saham semakin kecil dan menyentuh reset strike, harga strike akan di-reset ke harga yang baru sehingga nilai opsi pun menjadi semakin meningkat. Sebaliknya jika harga saham tidak menyentuh reset strike maka harga strike tidak akan berubah sampai masa jatuh tempo opsi. Setelah dilakukan simulasi numerik, harga opsi call window reset cenderung sama pada kedua metode tree tersebut dan harga opsi call window reset cenderung lebih tinggi dibandingkan dengan harga opsi call Eropa standar.

scholarly journals PENENTUAN HARGA OPSI CALL WINDOW RESET MENGGUNAKAN METODE BINOMIAL TREE DAN TRINOMIAL TREE

2018 ◽  
Author(s):  
Revi Meliyani ◽  
Endar H Nugrahani ◽  
Donny Citra Lesmana
Keyword(s):  
Binomial Tree ◽  
Trinomial Tree ◽  
Path Dependent

Opsi window reset merupakan salah satu jenis opsi yang bersifat path-dependent sehingga nilai opsi tersebut tidak mempunyai rumus eksak. Oleh karena itu, dibutuhkan metode numerik untuk menentukan nilainya. Penelitian ini membahas tentang penentuan harga opsi call window reset dengan menggunakan salah satu metode numerik. Jenis metode numerik tersebut, yakni metode tree yang terdiri dari binomial tree dan trinomial tree. Jika harga saham semakin kecil dan menyentuh reset strike, harga strike akan di-reset ke harga yang baru sehingga nilai opsi pun menjadi semakin meningkat. Sebaliknya jika harga saham tidak menyentuh reset strike maka harga strike tidak akan berubah sampai masa jatuh tempo opsi. Setelah dilakukan simulasi numerik, harga opsi call window reset cenderung sama pada kedua metode tree tersebut dan harga opsi call window reset cenderung lebih tinggi dibandingkan dengan harga opsi call Eropa standar.

scholarly journals A Depth-First Search Technique For The Valuation Of American Path-Dependent Derivatives*

2011 ◽  
Vol 17 (3) ◽  
Author(s):  
Patrick Dennis
Keyword(s):  
American Options ◽  
Computer Systems ◽  
Asian Options ◽  
Fixed Income ◽  
Font Size ◽  
Search Technique ◽  
Binomial Tree ◽  
Depth First Search ◽  
Fixed Income Derivatives ◽  
Path Dependent

<p class="MsoNormal" style="text-align: justify; margin: 0in 37.8pt 0pt 0.5in;"><span style="font-size: x-small;"><span style="font-family: Batang;"><span style="mso-fareast-font-family: 'MS Mincho'; mso-bidi-font-style: italic;">Pricing path-dependent American options is difficult since the number of paths through a binomial tree grow exponentially with the number of binomial periods.<span style="mso-spacerun: yes;">&nbsp; </span>In practice even moderately sized trees of 20 to 25 periods can quickly exhaust available memory on most computer systems.<span style="mso-spacerun: yes;">&nbsp; </span>This paper describes a method that can be used to price path dependent American style derivatives where the amount of memory grows linearly, not exponentially, in the number of binomial periods.<span style="mso-spacerun: yes;">&nbsp; </span>The method is applied to pricing Asian options, fixed income derivatives based on the Heath-Jarrow-Morton model, and corporate bonds</span><span style="mso-fareast-font-family: 'MS Mincho';">.</span></span></span></p>

EFFICIENT PIECEWISE TREES FOR THE GENERALIZED SKEW VASICEK MODEL WITH DISCONTINUOUS DRIFT

2017 ◽  
Vol 20 (04) ◽  
pp. 1750028
Author(s):  
XIAOYANG ZHUO ◽  
OLIVIER MENOUKEU-PAMEN
Keyword(s):  
European American ◽  
Option Prices ◽  
Vasicek Model ◽  
Binomial Tree ◽  
Jump Size ◽  
Discontinuous Drift ◽  
Tree Lattice ◽  
Bond Options ◽  
Trinomial Tree ◽  
Bond Option

In this paper, we explore two new tree lattice methods, the piecewise binomial tree and the piecewise trinomial tree for both the bond prices and European/American bond option prices assuming that the short rate is given by a generalized skew Vasicek model with discontinuous drift coefficient. These methods build nonuniform jump size piecewise binomial/trinomial tree based on a tractable piecewise process, which is derived from the original process according to a transform. Numerical experiments of bonds and European/American bond options show that our approaches are efficient as well as reveal several price features of our model.

Moral reasoning is the process of asking moral questions and answering them

2019 ◽  
Vol 42 ◽  
Author(s):  
Mark Alfano
Keyword(s):  
Moral Reasoning ◽  
Dependent Process ◽  
Asking Questions ◽  
Path Dependent ◽  
Path Dependent Process ◽  
Moral Questions

Abstract Reasoning is the iterative, path-dependent process of asking questions and answering them. Moral reasoning is a species of such reasoning, so it is a matter of asking and answering moral questions, which requires both creativity and curiosity. As such, interventions and practices that help people ask more and better moral questions promise to improve moral reasoning.

The singular points binominal method for pricing American path-dependent options

2010 ◽  
Vol 14 (1) ◽  
pp. 29-56 ◽  
Author(s):  
Marcellino Gaudenzi ◽  
Antonino Zanette ◽  
Maria Antonietta Lepellere
Keyword(s):  
Singular Points ◽  
Path Dependent
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