Simulasi Valuasi Harga Opsi Saham Dengan Menyertakan Implied Volatility Menggunakan Metode Binomia

Alfajriyah, Aimmatul Ummah (2020) Simulasi Valuasi Harga Opsi Saham Dengan Menyertakan Implied Volatility Menggunakan Metode Binomia. Other thesis, Institut Teknologi Sepuluh Nopember Surabaya.

[thumbnail of 06111640000002-Undergraduate_Thesis.pdf] Text
06111640000002-Undergraduate_Thesis.pdf - Accepted Version

Download (3MB)

Abstract

Model Black - Scholes memberikan solusi analitis pada
penentuan harga opsi dan telah digunakan secara luas. Namun, asumsi volatilitas konstan pada model Black - Scholes kurang merepresentasikan kondisi riil. Penelitian ini bertujuan untuk mendapatkan hasil studi empiris mengenai volatilitas dan hasil simulasi valuasi harga opsi saham. Pada penelitian ini dilakukan perhitungan volatilitas. Selanjutnya, dilakukan konstruksi dan
simulasi implied binomial tree dengan menyertakan faktor implied volatility yang lebih konsisten terhadap kondisi riil. Hasil perhitungan volatilitas menunjukkan adanya volatility smile dan volatility skew pada data empiris. Simulasi menunjukkan bahwa peningkatan level mengakibatkan harga opsi yang diperoleh dari implied binomial tree semakin konvergen ke harga opsi BlackScholes. Selain itu, diperoleh faktor-faktor yang berpengaruh terhadap harga opsi yaitu harga saham, harga strike, suku bunga dan waktu jatuh tempo.

========================================================================================================================================

Model Black-Scholes gives analytical solution in determining option pricing and has been hugely used. However, constant volatility assumption in the Black-Scholes model doesn’t fully represent the real condition. This research aims to get empirical study on volatility and simulation result of stock option prices. Volatility calculation will be done. Then, implied binomial tree will be constructed and simulated by incorporating implied volatility which is more consistent to the real condition. The calculation result of volatility show volatility smile and volatility skew in the data.
The simulation shows that the increase of level causes option price resulted from implied binomial tree gets more convergent to the Black-Scholes option price. In addition, it is obtained some factors that influence towards option price: stock price, strike price, interest
rate and maturity date.

Item Type: Thesis (Other)
Additional Information: RSMa 511.8 Alf s-1 • Alfajriyah, Aimmatul Ummah
Uncontrolled Keywords: Binomial, Black - Scholes, Opsi, Volatilitas, Volatility smile ================================================================================================================== Binomial, Black - Scholes, Option, Volatility, Volatility smile
Subjects: H Social Sciences > HG Finance
H Social Sciences > HG Finance > HG4012 Mathematical models
Q Science > QA Mathematics > QA371 Differential equations--Numerical solutions
Divisions: Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: AIMMATUL UMMAH ALFAJRIYAH
Date Deposited: 25 Aug 2020 07:27
Last Modified: 26 Jan 2024 08:01
URI: http://repository.its.ac.id/id/eprint/81129

Actions (login required)

View Item View Item