Persamaan Black-Scholes dan penentuan nilai opsi = Black-scholes equation and option valuation

Suryadi, Andre (2009) Persamaan Black-Scholes dan penentuan nilai opsi = Black-scholes equation and option valuation. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Opsi Sebagai instrumen keuangan derivatif menjadi sangat popular saat ini. Opsi menjadi pilihan menarik bagi investor karena dapat digunakan untuk spekulasi maupun melindungi nilai investasi. Kemudian terdapat cara yang sistematis untuk menentukan nilai yang wajar dari opsi, cara yang paling terkenal adalah model BlackScholes. Opsi dapat dibedakan sebagi opsi Eropa, dan opsi Amerika. Kedua jenis opsi tersebut dapat dimodelkan dengan model Black-Scholes yang berupa persamaan diferensial parsial. Model Black-Scholes dapat diturunkan juga untuk menentukan strategi melindungi nilai investasi menggunakan opsi. Verifikasi model dilakukan dengan membandingkan nilai pasar dan nilai dari model Black-Scholes pada opsi komoditas coklat yang diperdagangkan pada London International Financial Futures & Options Exchange (LIFFE) per 5 Juli 2009. Kemudian simulasi untuk melihat kegunaan strategi lindung nilai dilakukan pada opsi valuta asing USD terhadap rupiah pada periode Januari-April 2009. / Option as derivative financial instrument have become very popular. Option become attractive to investors because it can be use for both speculation and hedging. Further, there is systematic way to determine the price of option, the most popular method is by using Black-Scholes model. Option can be divide to European Option, and American option. Both of these option can be modeled by Black-Scholes model in form of partial differential equation. Furthermore, Black-Scholes model also can be derived to determine hedging strategy using option. Verification of the model is using the data of cocoa option which is traded at London International Financial Futures & Options Exchange (LIFFE) on June 5, 2009, by compare market value and Black-Scholes value . Then simulation of hedging to see the advantage of hedging strategy is done by using foreign exchange option of USD to IDR at time period January-April 2009.

Item Type:	Thesis (Bachelor)
Creators:	Creators NIM Email Suryadi, Andre NIM11220050005 UNSPECIFIED
Contributors:	Contribution Contributors NIDN/NIDK Email Thesis advisor Margaretha, Helena NIDN0312057504 helena.margaretha@uph.edu Thesis advisor Senobua, Yosef Oktavianus NIDN9990299867 yosef.senobua@lecturer.uph.edu
Additional Information:	SK 112-05 SUR p ; T 67317
Uncontrolled Keywords:	portofolio; aset; opsi; arbitrasi; lindung nilai; valuta asing; short sell; nilai kini; at the money (ATM); in the money (ITM); out of the money (OTM); over the counter (OTC); model black-scholes.
Subjects:	Q Science > QA Mathematics
Divisions:	University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User:	Mrs Veronica Fitri Astuti
Date Deposited:	13 May 2021 08:32
Last Modified:	03 Nov 2023 00:27
URI:	http://repository.uph.edu/id/eprint/18169

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