Menentukan Harga Proteksi Sekuritas Secara Dinamik  

Oleh:

Silalahi, Agustinus

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Metris: Jurnal Mesin, Elektro, Industri dan Sains vol. 5 no. 2 (Jun. 2004), page 135-141.
Topik: distribution; option; Brownian motion; normal distribution
Fulltext: hal 135-141.pdf (455.06KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: MM42.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Usually pay off the protection securities / securities / share are not depend on the fluctuation of securities / securities / share value before maturity date, just depend on the value at the maturity date. In this paper we discuss about the protection which depend on the fluctuation of securities /securities / share value before maturity date so the pay off at the maturity date is depend on the fluctuation of value before maturity date, this protection is called Dynamics Protection. First we define the pay off at maturity date and with assumption no transaction cost, no dividend, no rate of return for strike price K and securities / securities / are value is geometric Brownian motion, we get the price of dynamics Protection. The Dynamic Protection is an appropriate tool for securities / shares which we predict the value wil fall down and will grow up approaches K at the closed to maturity date.

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