Article Per Year (5 Year)
p-Index From 2019 - 2024
0.817
P-Index
This Author published in this journals
All Journal International Journal of Computing Science and Applied Mathematics Abdimas: Jurnal Pengabdian Masyarakat Universitas Merdeka Malang Indonesian Journal of Applied Mathematics
Endah Rokhmati Merdika Putri
Departemen Matematika, Institut Teknologi Sepuluh Nopember
Humanities Computer Science & IT Control & Systems Engineering Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Mathematics Physics

Published : 5 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 5 Documents
Search

 1 
Comparison of Numerical Methods on Pricing of European Put Options Mardianto, Lutfi; Pratama, Aditya Putra; Soemarsono, Annisa Rahmita; Hakam, Amirul; Putri, Endah Rokhmati Merdika
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol 5, No 1 (2019)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (170.702 KB) | DOI: 10.12962/j24775401.v5i1.3172

Abstract

Put option is a contract to sell some underlying assets in the future with a certain price. On European put options, selling only can be exercised at maturity date. Behavior of European put options price can be modeled by using the Black-Scholes model which provide an analytical solution. Numerical approximation such as binomial tree, explicit and implicit finite difference methods also can be used to solve Black-Scholes model. Some numerical methods are applied and compared with the analytical solution to determine the best numerical method. The results show that numerical approximations using the binomial tree is more accurate than explicit and implicit finite difference method in pricing European put options. Moreover when the value of T is higher then the error obtained is also higher, while the error obtained is lower when the value of N is higher. The value of T and N cause the increase of the computation time. When the value of T is higher the computation time is lower, while computation time is higher if the value of N is higher. Overall, the lowest computation time is obtained by using an explicit finite difference method with an exceptional as the value of T is big and the value of N is small. The lowest computation time is obtained by using a binomial tree method.
Comparison of American Binomial Options with Discrete and Continuous Dividend Dian Ayu Merdekawati; Yolanda Norasia; Charisma Juni Kumalasari; Endah Rokhmati Merdika Putri
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol 6, No 2 (2020)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.12962/j24775401.v6i2.4283

Abstract

This study discusses the effect of dividend on option pricing by using a binomial method. It also investigated the initial stock value, number of steps, and strike price effects on the behavior of options pricing. From several simulations conducted, it was found that the values of call options with discrete dividend are greater than the continuous dividend. While on the put option, the values of the put options with a continuous dividend are greater than the discrete dividend.
Performance of Gahver-Stehfest Numerical Laplace Inversion Method on Option Pricing Formulas Endah Rokhmati Merdika Putri; Sentot Didik Surjanto
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol 3, No 2 (2017)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (205.792 KB) | DOI: 10.12962/j24775401.v3i2.2215

Abstract

In this paper we study the performance of Gahver-Stehfest numerical Laplace inversion method. The method is applied to some simple functions which have analytical Laplace inversion and the option pricing formulas which their analytical inversions are not available. The accuracy and efficiency of the methods for each functions are presented.
Monitoring water quality using control charts at PDAM Surya Sembada Surabaya Valeriana Lukitosari; Sunarsini Sunarsini; Wahyu Fistia Doctorina; Laksmi Prita Wardhani; Endah Rokhmati Merdika Putri
Abdimas: Jurnal Pengabdian Masyarakat Universitas Merdeka Malang Vol 8, No 1 (2023): February 2023
Publisher : University of Merdeka Malang

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.26905/abdimas.v1i1.8828

Abstract

Statistical quality control using control charts is an easy-to-implement method to improve quality. Improvements in the quality of products and services are continuously implemented to meet consumer needs. Products and services must maintain the desired quality with as few defects as possible. Variations in products and services are naturally created to meet needs. Unintentional variation, but the cause can be found. Control charts can be used to monitor production; particularly serving as an early warning index of processes that are potentially out of control. To keep production under control, different control charts are prepared for different cases, created by combining upper and lower control limits. Points plotted on a graph can reveal certain patterns, which in turn allow the user to get specific information. Information on water production is very important in PDAM because water is the main product that meets the needs for the survival of humans, animals, plants, and various other needs. The supply of clean water that meets the requirements of quality standards is always pursued by PDAM Surya Sembada Surabaya. The Statistical control chart training will increase productivity and improve water quality, not only in terms of chemical, physical and biological quality. Good water quality will add value to the trust and community of PDAM. 
Prediksi Harga Saham Menggunakan Geometric Brownian Motion Termodifikasi Kalman Filter dengan Konstrain Vivien Maulidya; Erna Apriliani; Endah Rokhmati Merdika Putri
Indonesian Journal of Applied Mathematics Vol 1 No 1 (2020): Indonesian Journal of Applied Mathematics Vol. 1 No. 1 October Chapter
Publisher : Lembaga Penelitian dan Pengabdian Masyarakat (LPPM), Institut Teknologi Sumatera, Lampung Selatan, Lampung, Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar

Abstract

An attractive profit is one of the attractions offered by stock investment. Changes in stock prices that are difficult to predict will result in uncertain value of profits, so it is necessary to predict the stock price using forecasting method. The model used is Geometric Brownian Motion (GBM). This model can predict future stock price movements based oh historical stock data. Forecasting results with the Geometric Brownian Motion model produce significant errors due to constant parameters. To reduce the values of error, it is necessary to add a filtering method that is Kalman Filter (KF) by limiting the state variables using norm. Historical data was taken from 3 different closing price stock data, namely shares of Bank BRI, PT. Telekomunikasi Indonesia Tbk, and Unilever Indonesia with period of January 1 – December 31, 2019. Based on the results obtained, the addition of contraints on the GBM-KF model does not significantly influence the MAPE value. At the forecasting stage using testing data with GBM-KF model without constraints, the average MAPE value for BBRI was 0.1122%, TLKM 0.0899%, and UNVR 0.0678%. While forcasting using GBM-KF model with constrains, the average MAPE value for BBRI was 0.0958%, TLKM 0.0808%, and UNVR 0.0674%. The values of MAPE obtained are included in the high accuracy forecasting category.
Co-Authors Charisma Juni Kumalasari Dian Ayu Merdekawati Erna Apriliani Hakam, Amirul Laksmi Prita Wardhani Mardianto, Lutfi Pratama, Aditya Putra Sentot Didik Surjanto Soemarsono, Annisa Rahmita Sunarsini Sunarsini Valeriana Lukitosari Vivien Maulidya wahyu fistia doctorina Yolanda Norasia