ESTIMASI IMPLIED VOLATILITY OPSI CALL TIPE EROPA MENGGUNAKAN DERET TAYLOR; THE IMPLIED VOLATILITY ESTIMATION OF EUROPEAN CALL OPTION USING TAYLOR SERIES

Adif Laksana, Abdurakhman

2014 | Disertasi | PROGRAM STUDI S2 MATEMATIKA

This thesis discussed the estimate explicit formula of implied volatility European call option using Taylor series, first-order and the third-order. The formula performance tested based on the value of error option pricing theory and market price in a certain period. Furthermore, we will compare the results of the error option price using estimation historical volatility and estimation implied volatility. In the end section, the implied volatility formula performance also be analyzed based the length time of the market options pricing contracts.

Kata Kunci : implied volatility, historical volatility, volatility estimation