Penentuan Harga Opsi Put dan Call Terhadap Saham Nokia dengan Menggunakan Model Black-Scholes
Abstract
Options are a derivative instrument. High volatility makes options an attractive investment. Volatility can describe risk or gain. Volatility describes the probability of a stock's price over a period of time. Nokia is the code used in the stock of Nokia Corporation. The research method used in this research is descriptive method. The price of the call option premium is determined by using the Monte Carlo simulation method. The data used is Nokia stock data, with the determination of the 3 month put option expiration period from October 2020 to October 2021. In this study, the recommended or non-recommended stocks were found in the buy and sell options with several option prices (last price) on both options. The researcher uses the black scholes model and it is found that Nokia shares are considered attractive to choose and become a recommendation for both buy and sell options for investors. Further findings can be seen in this study.
Full Text:
PDFReferences
Aziz, A. (2009). Empat Model Aproksimasi Binomial Harga Saham Model black-Scholes. Cauchy, 1(1), 15. https://doi.org/10.18860/ca.v1i1.1702
Fall, A. N., Ndiaye, S. N., & Sene, N. (2019). Black–Scholes option pricing equations described by the Caputo generalized fractional derivative. Chaos, Solitons and Fractals, 125, 108–118. https://doi.org/10.1016/j.chaos.2019.05.024
Irawan, W. O. (2017). Penentuan Harga Opsi Dengan Model Black-Scholes Menggunakan Metode Beda Hingga Center Time Center Space (Ctcs). EKSAKTA: Berkala Ilmiah Bidang MIPA, 18(02), 191–199. https://doi.org/10.24036/eksakta/vol18-iss02/77
Kusumahadi, K., & Sastika, W. (2015). Analisis Perbandingan Penentuan Harga Call Option Dengan Menggunakan Metode Black-Scholes Dan Metode Simulasi Monte Carlo. Ecodemica, III(1), 355–362.
Marthin, N. M., Rusgiyono, A., & Rahmawati, R. (2017). Penentuan harga opsi put dan call tipe eropa terhadap saham menggunakan model black-scholes. Jurnal Gaussian, 6(3), 407–417.
Maulana, Y. (2022). Pemodelan Volatilitas Indeks Harga Saham Sektoral di Indonesia. Logika: Jurnal Penelitian Universitas Kuningan, 13(01), 53-72.
Maulana, Y., Nugraha, Sari, M., Ikaputera, W., & Purnamasari, I. (2022). Trading Behavior on Bond Market. Proceeding GAMAICEB 2022, 34–41.
SABRINA, F., DEVIANTO, D., & YANUAR, F. (2020). Penentuan Harga Opsi Tipe Eropa Dengan Menggunakan Model Black Scholes Fraksional. Jurnal Matematika UNAND, 9(2), 154. https://doi.org/10.25077/jmu.9.2.154-161.2020
Sugiyono. (2013). Metode Penelitian Pendidikan Pendekatan Kuantitatif, Kualitatif dan R&D.
Sutrisno, B. (2017). Hubungan Volatilitas dan Volume Perdagangan di Bursa Efek Indonesia. Esensi, 7(1), 15–26. https://doi.org/10.15408/ess.v7i1.3894
Yuliarni, N., Nugraha, Sari, M., & Maulana, Y. (2021). Penentuan Harga Opsi Put Dan Call Terhadap Saham Sony Dengan Menggunakan Model Black-Scholes. 2(1), 211–221.
DOI: https://doi.org/10.25134/ijsm.v5i2.7285
Refbacks
- There are currently no refbacks.
Indonesian Journal of Strategic Managementis licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
View My Stats