ESTIMASI IMPLIED VOLATILITY OPSI CALL TIPE EROPA MENGGUNAKAN DERET TAYLOR

ADIF LAKSANA, Dr. Abdurakhman, M.Si.

2014 | Tesis | S2 Matematika

Dalam tesis ini dibahas tentang rumus eksplisit estimasi implied volatility opsi call tipe Eropa menggunakan deret Taylor orde satu dan orde tiga. Performa rumus tersebut diuji berdasarkan nilai eror harga opsi teori terhadap harga opsi market pada periode tertentu. Selanjutnya akan dibandingkan hasil eror harga opsi menggunakan estimasi historical volatility dengan estimasi implied volatility. Pada bagian akhir, juga akan dianalisa performa rumus estimasi implied volatility berdasarkan lama waktu kontrak opsi market.

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, estimasi volatility