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APROKSIMASI PDS HARGA SAHAM MENGGUNAKAN METODE NUMERIK PDS IMPLISIT | - | Ekonomi & Bisnis ojs2 has produced an error Message: WARNING: fopen(/home/jurnal/public_html/cache/fc-keywords_en_US-3.php): failed to open stream: Disk quota exceeded In file: /home/jurnal/public_html/lib/pkp/classes/cache/FileCache.inc.php At line: 85 Stacktrace: Server info: OS: Linux PHP Version: 5.4.16 Apache Version: N/A DB Driver: mysql DB server version: 5.5.52-MariaDB
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APROKSIMASI PDS HARGA SAHAM MENGGUNAKAN METODE NUMERIK PDS IMPLISIT

Noorbaity -, Siti Aisiyah

Abstract


Nilai harga saham selalu berubah terhadap waktu dengan pola yang tidak terduga. Perilaku
pergerakan harga saham tersebut dapat diestimasi dengan menggunakan model pergerakan
harga saham yang terkait dengan suatu persamaan diferensial stokastik (PDS). Untuk
menentukan solusi aproksimasi PDS yang lebih baik diperlukan metode numerik dengan order
konvergen tinggi dan akurat. Keakuratan ditentukan dengan cara membandingkan dan analisis
kesalahan solusi aproksimasi dengan solusi eksak pada titik-titik diskritisasi dan panjang
interval yang berbeda. Fokus penelitian ini adalah meneliti keakuratan metode numerik implisit
dibandingkan dengan metode numerik eksplisit dalam menentukan solusi aproksimasi PDS
pergerakan harga saham. Pada penelitian ini metode numerik yang akan dianalisis adalah
metode Euler Maruyama, metode Milstein, metode Euler implisit dan metode Milstein implisit.
Kata kunci : metode numerik, persamaan diferensial stokastik, implisit, harga saham, akurat.

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