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Stock options is a contract which give the right (without obligation) to the owner to buy or to sell stock asset at certain price during specified time period. Stock option is derivate product of stock, created to hedge and speculate. This research use Least-Square Monte Carlo (LSM) method to estimate American put option price. Firstly, LSM method is applied to determine single asset of American put...
In this research, gold price prediction is conducted using type-2 neuro-fuzzy modeling. Gold price data history is divided into several clusters using Self-Constructing Clustering and produces some type-2 fuzzy rules. The rules of fuzzy parameters which are preceding and consequent are sought and optimized using Particle Swarm Optimization and Least Square Estimation. The gold price prediction result...
Tracking Efficient (TE) method is applied in forming portfolio that has a similarity with the market index (represented here by LQ45 Stock Index). In forming a portfolio, TE uses historical data in certain period of time. Parameter ß is used as stock relative measure to market index and it shows stock level of return towards the market index. By choosing an appropriate ß, the portfolio will has high...
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