Solusi Numerik Persamaan Difusi menggunakan Finite Difference Method (FDM) Crank - Nicolson dalam Penentuan Harga Opsi Tipe Eropa

Abstract

Unstable movements in stock values make investors have to secure the shares they own in order to minimize the risk of loss during downtrend conditions, namely with options. Finite Difference Method (FDM) Crank Nicolson is an approach method for finding numerical solutions to option prices. The purpose of this study is to determine the price model of the European type call option and put option by transforming the stochastic differential equation into a diffusion equation form, then looking for a numerical solution using the Finite Difference Method (FDM) Crank Nicolson to determine the price of the European type call option and put option sold at a low prices (underprice). The data used in this study are the stock price and option price of the company Apple, Inc. in November 2020 to October 2021, with an options maturity time
of 6 months from the last stock price. The results of this study obtained models for call options and European-type put options from diffusion equation transformations, and options that are sold at low prices, namely for call options with a strike price of $75, and put options with strike prices other than $215, $240, $245.