Authors:

IDA AYU EGA RAHAYUNI, KOMANG DHARMAWAN, LUH PUTU IDA HARINI

Abstract:

“Black-Scholes model suggests that volatility is constant or fixed during the life time of the option certainly known. However, this does not fit with what happen in the real market. Therefore, the volatility has to be estimated. Implied Volatility is the etimated volatility from a market mechanism that is considered as a reasonable way to assess the volatility’s value. This study was aimed to compare the Newton-Raphson, Secant, and Bisection method, in estimating the stock volatility value of PT Telkom Indonesia Tbk (TLK). It found that the three methods have the same Implied Volatilities, where Newton-Raphson method gained roots more rapidly than the two others, and it has the smallest relative error greater than Secant and Bisection methods.”

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PDF:

https://jurnal.harianregional.com/mtk/full-18714

Published

2016-01-30

How To Cite

RAHAYUNI, IDA AYU EGA; DHARMAWAN, KOMANG; IDA HARINI, LUH PUTU. PERBANDINGAN KEEFISIENAN METODE NEWTON-RAPHSON, METODE SECANT, DAN METODE BISECTION DALAM MENGESTIMASI IMPLIED VOLATILITIES SAHAM.E-Jurnal Matematika, [S.l.], v. 5, n. 1, p. 1-6, jan. 2016. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-18714. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/MTK.2016.v05.i01.p113.

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Issue

Vol 5 No 1 (2016)

Section

Articles

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