PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES

PENENTUAN HARGA OPSI DAN NILAI HEDGE MENGGUNAKAN PERSAMAAN NON-LINEAR BLACK-SCHOLES

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Option are contracts that give the right to sell and buy the asset at a price and a certain period of time.In addition investors use option as a means of hedge against asset owned.Many methods are used to determine the price of option, one Ball - Equipment of them by using the Black-Scholes equation.But its use these in the assumption that the value for the constant volatility.On market assumption are not appropriates, so many researchers proposed using a volatility calculation option that is non-constant Black-Scholes equation modelled using the volatility is not constant in the range so as to produce a non-linear equation of  Black-Scholes.

In addition to determine the value of hedge ratio.On completions of this study, for the numerical solution of non-linear Black-Scholes equation using method of explicit finite difference scheme.Option use in research us a stock YAHOO!inc.as the underlying asset.The result showed that the price of the option is calculated using non-linear Black-Scholes equation price close on the market.

Therefore, Function it can produce hedge ration for a risk-free portfolio containing of the option and stock.