ACADSTAFF UGM
| Title | : | Implied Volatility under BS-BHM-Updated Model Using Newton Raphson Method |
| Author | : |
MUTIJAH (1) Prof. Drs. Suryo Guritno, M.Stats., Ph.D. (2) Dr. Drs. Gunardi, M.Si. (3) |
| Date | : | 0 2015 |
| Keyword | : | BS-BHM-Updated model, european call option pricing, volatility, newton raphson BS-BHM-Updated model, european call option pricing, volatility, newton raphson |
| Abstract | : | This paper studies about determining of European call option pricing under BS-BHM-Updated model using implied volatility. Implied volatility is determined using Newton Raphson method. This research compare the performance of implied volatility with the performance of historical volatility to European call option pricing under BS-BHM-Updated model too. The analytical properties of European call option pricing is also analyzed in this paper. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Internasional |
| Status | : |
Published
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| No | Title | Action |
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| 1 |
International Journal Applied Mathematics And Statistics (1).pdf
Document Type : [PAK] Full Dokumen
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| 2 |
Implied Volatility under BS-BHM-Updated Model Using Newton Raphson Method _ Mutijah _ International Journal of Applied Mathematics and Statistics™.pdf
Document Type : [PAK] Daftar Isi
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| 3 |
Editorial Board - IJAMAS.pdf
Document Type : [PAK] Halaman Editorial
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| 4 |
SJR-International Journal of Applied Mathematics and Statistics.pdf
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| 5 |
Implied Volatility under BS-BHM-Updated Model Using Newton Raphson Method.pdf
Document Type : [PAK] Cek Similarity
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