Layanan journal yang disediakan oleh Perpustakaan Universitas Gunadarma
| Judul Artikel | : | PENENlUAN HARGA OPSI BEll AlAS SAHAM Pl. ANlAM (PERSERO) MENGGUNAKAN MODEL BINOMIAL FUZZY |
|---|---|---|
| Judul Terbitan | : | Jurnal Matematika, Sains, dan Teknologi |
| ISSN | : | 14111934 |
| Bahasa | : | IND |
| Tempat Terbit | : | Pamulang |
| Tahun | : | 0000 |
| Volume | : | Vol. 19 Issue 1 0000 |
| Penerbit | : | LPPM Universitas Terbuka |
| Frekuensi Penerbitan | : | 2 x 1Tahun |
| Penulis | : | Agung Prabowou, Zulfatul Mukarromah2), Lisnawati3) Pramono Sidi |
| Abstraksi | : | Option is a financial instrument which its price depends on the underlying stock price. The pricing of both selling options and purchase options may use CRR (Cox-Ross-Rubinstein) binomial model. There were only two possible parameters that were used in this model, which were parameter u if the stock price rises and parameter d if the stock price down. One element that determine option prices is volatility. CRR volatility is constant in binomial model. In reality, financial market price of stocks fluctuates so that its volatility also fluctuates. This paper discusses volatility of fluctuating stock price movements by modelling it using binomial fuzzy with triangular curve representation. The analysis is carried out on three interpretations of triangular curve representation resulted in different degrees of membership. In addition to volatility. this study also investigated also the size or risk level p. This study used stock price movement data from PT Antam (Persero) from August 2015 to July 2016. Result of one period calculation showed that purchase option price for August 2016 with largest medium, and smallest volatility respectively were Rp.143,43.-, Rp.95,49,-, and Rp. 79,00, - with risk level p = 90%. The degree of membership for each option price varies depends on the interpretation of triangle curve representation. |
| Kata Kunci | : | fuzzy binomial model; fuzzy call optiom; fuzzy volatility. risk measure; triangular fuzzy curve representation |
| Lokasi | : | P8 |
| Terakreditasi | : | belum |