APLIKASI METODE CRANK-NICOLSON PADA PENENTUAN HARGA OPSI EROPA

• Main Author: Nurfitroh, Mela Rizlya (Author)
• Format: Book
• Published: 2013-10-09.
• Subjects: Thesis; NonPeerReviewed
• Online Access: Link Metadata

Summary

Opsi Eropa merupakan suatu kontrak antara holder dengan writer, dimana holder mempunyai hak (bukan kewajiban) dari writer untuk membeli atau menjual saham tertentu dengan harga yang telah disepakati (strike price) dan waktu yang telah ditentukan (pada saat jatuh tempo). Model Black-Scholes memiliki bentuk persamaan diferensial, sehingga kita dapat menentukan nilai opsi call dan opsi put secara numerik dengan menggunakan metode beda hingga Crank-Nicolson. Dalam menentukan harga opsi Eropa terdapat lima parameter yang mempengaruhinya yaitu harga saham awal, strike price, waktu jatuh tempo, volatilitas, dan suku bunga bebas risiko. Pengaruh harga saham awal dan tingkat suku bunga bebas risiko terhadap harga opsi Eropa, semakin meningkat nilai parameter maka harga opsi call akan semakin meningkat, sebaliknya harga opsi put akan semakin menurun. Sedangkan untuk strike price, harga opsi call menurun apabila nilai parameter meningkat, sebaliknya harga opsi put semakin meningkat. Selain itu, waktu jatuh tempo dan volatilitas berbanding lurus dengan harga opsi call Eropa dan harga opsi put Eropa. Untuk keakuratan metode Crank-Nicolson memiliki nilai error yang cenderung lebih kecil sehingga nilai harga opsi lebih mendekati harga opsi model Black-Scholes. Kata Kunci: Saham, Opsi Eropa, Model Black-Scholes, Metode Crank-Nicolson European option is a contract between holder and writer, where the holder has the right (not obligation) from a writer to buy and sell a particular stock with an agreement price (strike price) and predetermined time (at maturity time). Black-scholes model has the form differential equations. So we can determine the value call options and put options numerically using the finite difference crank-nicolson. In determining the price of the European options , there are five parameters that influence, such as the initial stock price, strike price, maturity, volatility, and risk-free interest. The initial stock price effect and the risk-free interest rate of the European option price. Increasing the value of the parameter call options price will increase, and the otherwise the put option price will decline. Where as for the strike price, call option price will decreases when the value of the parameter increases. And the otherwise the put option price will increases. In addition, maturities and volatility is proportional to the price of European call option and the put option European. For the Crank-Nicolson method accuracy has an error values tend to be smaller that the value of the option price is closer to option price the Black-Scholes model. Key words: Stock, European Option, Black-Scholes model, Crank-Nicolson Method.

Item Description

http://repository.upi.edu/2120/1/S_MTK_0902315_TITLE.pdf
http://repository.upi.edu/2120/2/S_MTK_0902315_ABSTRACT.pdf
http://repository.upi.edu/2120/3/S_MTK_0902315_TABLE%20OF%20CONTENT.pdf
http://repository.upi.edu/2120/4/S_MTK_0902315_CHAPTER1.pdf
http://repository.upi.edu/2120/5/S_MTK_0902315_CHAPTER2.pdf
http://repository.upi.edu/2120/6/S_MTK_0902315_CHAPTER3.pdf
http://repository.upi.edu/2120/7/S_MTK_0902315_CHAPTER4.pdf
http://repository.upi.edu/2120/8/S_MTK_0902315_CHAPTER5.pdf
http://repository.upi.edu/2120/9/S_MTK_0902315_BIBLIOGRAPHY.pdf
http://repository.upi.edu/2120/10/S_MTK_0902315_APPENDIX.pdf