Prediksi Harga Saham Dan Penentuan Opsi Saham Dengan Volatilitas Tersirat

Marga Kusuma, Mochamad Farhan (2021) Prediksi Harga Saham Dan Penentuan Opsi Saham Dengan Volatilitas Tersirat. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Saat ini investasi disektor pasar modal mulai dikenal oleh masyarakat. Dalam pasar modal terdapat banyak saham dengan sektor yang berbeda­-beda dimana salah satunya adalah bidang industri keuangan. Salah satu jenis perusahaan dalam bidang ini adalah financial techology dimana jenis perusahaan ini masih tergolong baru dalam bidang ini. Saat ini sudah terdapat beberapa perusahaan fintech yang mampu menembus skala pasar modal. Investor pada pasar modal tentu saja perlu berhati-­hati dalam berinvestasi pada bidang fintech mengingat jenis perusahaan yang masih baru dalam industri ini. Dalam pasar modal tentu terdapat banyak turunan bentuk bentuk investasi seperti salah satunya adalah opsi. Dalam penelitian ini akan dilakukan penentuan harga opsi dengan model Black-­Scholes dan prediksi harga saham dengan model Gerak Brown Geometri menggunakan volatilitas tersirat yang didapat dari konvergensi metode Newton­-Rhapson dan telah dilakukan regresi polinomial tingkat dua. Hasil dari penelitian ini adalah nilai volatilitas tersirat memeberikan opsi yang menarik pada pasar opsi saham dan dapat memprediksi harga saham dengan nilai MAPE yang rendah. =================================================================================================== Currently, investment in the capital market sector is starting to be recognized by the public. In the capital market there are many stocks with different sectors, one of which is the financial industry. One type of company in this field is financial technology where this type of company is still relatively new in this field. Currently, there are several fintech companies that are able to penetrate the scale of the capital market. Investors in the capital market need to be careful while investing in the fintech sector considering the type of company that is still new in this industry. In the capital market, of course, there are many derivative forms of investment, one of which is options. In this study, option prices will be determined using the Black­-Scholes model and stock price predictions using the Brownian Geometry model using implied volatility obtained from the convergence of the Newton­-Rhapson method and a second­ level polynomial regression has been performed. The result of this study is the implied volatility value gives quite attractive options in the stock options market and can predict stock prices with low MAPE values.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Volatilitas Tersirat, Gerak Brown Geometri, Black­-Scholes, Newton­-Rhapson, Saham. ======================================= Implied Volatility, Geometric Brownian Motion, Black­-Scholes, Newton­-Rhapson, Stock.
Subjects: H Social Sciences > HG Finance > HG4012 Mathematical models
Q Science > QA Mathematics > QA274.7 Markov processes--Mathematical models.
Q Science > QA Mathematics > QA276 Mathematical statistics. Time-series analysis. Failure time data analysis. Survival analysis (Biometry)
Q Science > QA Mathematics > QA371 Differential equations--Numerical solutions
Divisions: Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis
Depositing User: Mochamad Farhan Marga Kusuma
Date Deposited: 24 Aug 2021 00:41
Last Modified: 24 Aug 2021 00:41
URI: https://repository.its.ac.id/id/eprint/89975

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