Penentuan Harga Opsi Put Dan Call Terhadap Saham Sony Dengan Menggunakan Model Black-Scholes

Novia Yuliarni, Nugraha Nugraha, Maya Sari, Yasir Maulana

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 a code used in shares of Sony Group Corporation (SONY). 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 SONY stock data, with a determination of the maturity period of the put option of 2.37 months or 71 days from November 11, 2021 to January 21, 2022. This study uses Treasury Bill Rates or Rf with a maturity period of 8 weeks of 6 %. In this study, it was found that stocks were recommended or not recommended in the buy and sell options with several option prices (last price) on both options. The researcher uses the black school model and it is found that SONY shares are considered attractive to choose and become recommendations for both buy and sell options for investors. Further findings can be seen in this study.

 

Keywords : Option, call option, put option, stock, Black-Scholes model

 


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