Analisis perbandingan harga opsi saham metode binomial dengan metode black scholes (studi empiris underlying saham di bursa efek jakarta)

Sunarjo, Agus Dwi (2004) Analisis perbandingan harga opsi saham metode binomial dengan metode black scholes (studi empiris underlying saham di bursa efek jakarta). Masters thesis, Universitas Pelita Harapan.

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Abstract

Formula penentuan harga opsi biasanya menggunakan pendekatan waktu berkelanjutan {continues time) seperti formula Black Scholes dan menggunakan pendekatan waktu yang terpisah {discrete time) seperti formula Binomial Tree. Secara teoritis keduanya akan memiliki hasil yang sama. Dengan menggunakan variabel harga opsi, seperti; harga underlying saham, tingkat suku bunga bebas risiko dan volatilitas, sebagai variabel yang dinamis, diperoleh hasil pengujian hipotesis yang menunjukkan terdapat perbedaan yang signifikan antara harga opsi metode Black Scholes dengan harga opsi metode Binomial, dengan tingkat kepercayaan 99%, diperoleh nilai t hitung sebesar 3,914, yang lebih besar dari t tabel pada tingkat kesalahan 1% , derajat kebebasan 24 yaitu sebesar 2,191. Secara matematis harga opsi metode Binomial tree akan semakin mendekati harga opsi metode Black Scholes bila tahap waktu pada Binomial Tree semakin banyak. Karena faktor inilah maka perbedaan antara keduanya terjadi. Semakin dekat dengan waktu pelaksanaan, maka harga kontrak opsi metode Binomial menunjukkan harga yang lebih tinggi dibandingkan dengan harga kontrak opsi metode Black Scholes.

Item Type: Thesis (Masters)
Creators:
CreatorsNIMEmail
Sunarjo, Agus DwiNIM 19010041UNSPECIFIED
Contributors:
ContributionContributorsNIDN/NIDKEmail
ContributorSunaryo, TarsiciusUNSPECIFIEDUNSPECIFIED
Additional Information: T 19-01 SUN a
Subjects: H Social Sciences > HD Industries. Land use. Labor
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Current > Faculty/School - UPH Karawaci > Business School > Master of Management
Depositing User: Ms Devy Christiany Zega
Date Deposited: 20 May 2021 02:27
Last Modified: 04 Aug 2021 08:23
URI: http://repository.uph.edu/id/eprint/27870

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