IMPLEMENTASI MODEL HO-LEE UNTUK MENENTUKAN HARGA OBLIGASI CALLABLE DENGAN SIMULASI MONTE CARLO; IMPLEMENTATION OF HO-LEE MODEL FOR PRICING CALLABLE BONDS USING MONTE CARLO SIMULATION

GUSTI NGURAH SASTRA AGUSTIKA, Gunardi

2014 | Disertasi | PROGRAM STUDI S2 MATEMATIKA

In this study, the Monte Carlo method which is one of the numerical approach by simulation are used to implement the Ho-Lee models for approximating the evolution of the short rate. The results of the short rate approximation is then used to pricing of a callable bond. This study was also conducted with experiments to determine the effect of changes in the short rate and the protection period to the value of callable bonds. Obtained results of experiments that if the short rate moves down, then the right time for issuers to make the right call, and the shorter the protection period, the better for the issuer.

Kata Kunci : MODEL HO-LEE, SIMULASI MONTE CARLO