Nadwah, Hamidah Qurrotun (2019) Penentuan Harga Opsi Basket Tipe Eropa Berdasarkan Model Black-Scholes. Other thesis, Institut Teknologi Sepuluh Nopember.
Preview |
Text
06111440000035-Undergraduate Theses.pdf Download (1MB) | Preview |
Abstract
Opsi merupakan salah satu derivatif keuangan berupa kontrak untuk membeli (call option) atau menjual (put option) sebuah aset dengan harga tertentu pada periode tertentu. Opsi dengan lebih dari satu aset dasar disebut opsi multi-aset. Pada penelitian ini dibahas mengenai perhitungan pada salah satu jenis opsi multi-aset yaitu opsi basket. Penentuan harga opsi bertujuan meminimalisasi resiko dan memaksimalkan keuntungan dalam berinvestasi di pasar modal sehingga penting dilakukan sebelum melakukan kontrak opsi. Harga opsi merupakan suatu kondisi nilai batas pada persamaan diferensial parsial Black-Scholes. Pergerakan harga aset mengikuti gerak Brownian yang merupakan salah satu persamaan diferensial stokastik. Diperoleh solusi analitik dari model persamaan diferensial parsial Black-Scholes untuk menentukan harga opsi basket tipe eropa. Berdasarkan simulasi program dengan software MATLAB, didapatkan bahwa tingkat suku bunga dan volatilitas mempengaruhi harga opsi. Tingkat suku bunga yang semakin tinggi mengakibatkan harga opsi semakin tinggi. Volatilitas yang semakin tinggi mengakibatkan harga opsi semakin tinggi.
================================================================================================================================
Option is one of the financial derivatives in the form of contracts to buy (call option) or sell (put option) an asset at certain price for a certain period. Option with more than one underlying asset namely multi-asset option. This study discuss the calculation of one type multi-asset option, namely basket option. Pricing options aims to minimize risk and maximize profits in capital market investments so that it is important before making an option contract. Option price is terminal boundary condition in Black-Scholes partial differential equation. Underlying asset price movement is one of stochastic differential equation. Analytical solutions are obtained from Black-Scholes partial differential equation model for pricing european basket option. Based on program simulation using MATLAB software, it was found that volatility and interest rates affected the option. The higher interest rates, resulted the greater option price. The higher volatility, resulted the greater option price.
| Item Type: | Thesis (Other) |
|---|---|
| Additional Information: | RSMa 515.35 Nad p-1 2019 |
| Uncontrolled Keywords: | harga opsi, opsi basket, model Black-Scholes |
| Subjects: | Q Science > Q Science (General) Q Science > Q Science (General) > Q180.55.M38 Mathematical models Q Science > QA Mathematics Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA371 Differential equations--Numerical solutions |
| Divisions: | Faculty of Mathematics, Computation, and Data Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Hamidah Qurrotun Nadwah |
| Date Deposited: | 25 May 2023 07:28 |
| Last Modified: | 25 May 2023 07:28 |
| URI: | http://repository.its.ac.id/id/eprint/65641 |
Actions (login required)
 |
View Item |