ANALISIS PERBANDINGAN METODE BINOMIAL, METODE BLACK-SCHOLES DAN METODE SIMULASI MONTE CARLO DALAM MENENTUKAN HARGA EUROPEAN OPTION PADA SAHAM DOW JONES = COMPARISONAL ANALYSIS OF BINOMIAL METHOD, BLACK-SCHOLES METHOD AND MONTE CARLO SIMULATION METHOD IN DETERMINING EUROPEAN OPTION PRICE ON DOW JONES STOCK

Wijaya, Joseph Abednego (2023) ANALISIS PERBANDINGAN METODE BINOMIAL, METODE BLACK-SCHOLES DAN METODE SIMULASI MONTE CARLO DALAM MENENTUKAN HARGA EUROPEAN OPTION PADA SAHAM DOW JONES = COMPARISONAL ANALYSIS OF BINOMIAL METHOD, BLACK-SCHOLES METHOD AND MONTE CARLO SIMULATION METHOD IN DETERMINING EUROPEAN OPTION PRICE ON DOW JONES STOCK. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Investasi dalam saham sudah semakin berkembang dan sudah semakin populer di zaman sekarang ini, karena mudahnya melakukan investasi dan besarnya keuntungan dari investasi yang dihasilkan. Namun selain saham, ada juga investasi yang diperjualbelikan namun tidak disertai dengan hak kepemilikan, salah satu contohnya adalah opsi. Oleh karena itu, penulis ingin mengetahui lebih dalam bagaimana perhitungan harga opsi dilakukan. Beberapa metode yang digunakan untuk menghitung harga opsi adalah dengan metode binomial, Black-Scholes, dan Monte Carlo. Dalam perhitungan opsi ini, akan digunakan 30 saham yang terdaftar dalam indeks Dow Jones. Dari setiap saham tersebut, akan dihitung 100 periode harga opsi beli dan harga opsi jual dengan tanggal kedaluwarsa pada tanggal 20 Januari 2023. Dalam tugas akhir ini juga, akan dihitung metode mana yang memberikan estimasi harga opsi yang terbaik dengan menghitung MAPE dari masing-masing metode. MAPE menunjukkan nilai persentase berapa besar nilai error dalam peramalan harga opsi. Dari perhitungan yang telah dilakukan, didapatkan bahwa metode Black-Scholes merupakan metode yang paling baik dalam mengestimasi harga opsi. / Investment in stocks has been growing and is increasingly popular nowadays, because it is easy to make investments and the large profits from the investments that are generated. But apart from stocks, there are also investments traded but not accompanied by ownership rights, one example is options. Therefore, the author wants to know more about how the option price is calculated. Some of the methods used to calculate option prices are the binomial, Black-Scholes, and Monte Carlo methods. In calculating this option, 30 stocks listed in the Dow Jones index will be used. From each of these shares, 100 periods of call option prices will be calculated and the put option price will mature on January 20, 2023. In this final project, it will also be calculated which method provides the best estimate of option prices by calculating the MAPE of each method. MAPE shows the value of the proportion of how much the error value is in forecasting option prices. From the calculations that have been done, it is found that the Black-Scholes method is the best method in estimating option prices.

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