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Surya Amami Pramuditya
Universitas Swadaya Gunung Jati
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Journal : sainsmat

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Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi Pramuditya, Surya Amami
Sainsmat : Jurnal Ilmiah Ilmu Pengetahuan Alam Vol 5, No 1 (2016): Maret
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Negeri Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1001.816 KB) | DOI: 10.35580/sainsmat5130432016

Abstract

ABSTRAKOpsi adalah kontrak antara pemegang dan penulis  (buyer (holder) dan seller (writer)) di mana penulis (writer) memberikan hak (bukan kewajiban) kepada holder untuk membeli atau menjual aset dari writer pada harga tertentu (strike atau latihan harga) dan pada waktu tertentu dalam waktu (tanggal kadaluwarsa atau jatuh tempo waktu). Ada beberapa cara untuk menentukan harga opsi, diantaranya adalah  Metode Black-Scholes dan Metode Binomial. Metode binomial berasal dari model pergerakan harga saham yang membagi waktu interval [0, T] menjadi n sama panjang. Sedangkan metode Black-Scholes, dimodelkan dengan pergerakan harga saham sebagai suatu proses stokastik. Semakin besar partisi waktu n pada Metode Binomial, maka nilai opsinya akan konvergen ke nilai opsi Metode Black-Scholes.Kata kunci: opsi, Binomial, Black-Scholes.ABSTRACT Option is a contract between the holder and the writer in which the writer gives the right (not the obligation) to the holder to buy or sell an asset of a writer at a specified price (the strike or exercise price) and at a specified time in the future (expiry date or maturity time). There are several ways to determine the price of options, including the Black-Scholes Method and Binomial Method. Binomial method come from a model of stock price movement that divide time interval [0, T] into n equally long. While the Black Scholes method, the stock price movement is modeled as a stochastic process. More larger the partition of time n in Binomial Method, the value option will converge to the value option in Black-Scholes Method.Key words: Options, Binomial, Black-Scholes
Co-Authors Abelia Ayuni Andi Nurdiyana Anggita Maharani Anisa Oktaviani Anisa, Putri Mutiara APRILIANI, MALA Artisa Indariani Artisa Indariani Atik Prihatini Atik Prihatini Atina Sabila Khodijah Ayni, Nur Cita Dwi Rosita Cita Dwi Rosita Citra Dwi Rosita Dede Syaefullah Diding Yadi Sahputra Elinda, Elinda Entit puspita Feriatna, Troynanda Firda Luthfiatika Jannah Fitri Anggraeni Fuji Azzumar Gifta Maudy Fahira Gina Putri Aulia Gina Putri Aulia Hanan Hanan Handayani, Via Dwi Handayani, Via Dwi Hasan Rahmat Henri Purwono Herri Sulaiman Hidayat, Yandi Wahyu Ida Hamidah Ida Hamidah Ida Hamidah Ika Wahyuni Indariani, Artisa Indrasari, Peti Intania Siti Aisyah Intania Siti Aisyah Iwan Supriadi Jajo Firman Raharjo Jelita Fuji Khaebibah Khodijah, Atina Sabila Laelasari Laelasari Latifa, Ulfa Lusi Luthfiati Ramdliyani Luthfiati Ramdliyani, Lusi Mohammad Dadan Sundawan, Mohammad Dadan Muchamad Subali Noto Muthia Rildha Maghfira Neneng Aminah Neneng Aminah Neneng Aminah Nida Nur'azizzah Nur Ayni Nurazizzah, Nida Prihatini, Atik Pujakusuma, Gina Kustina Purwono, Henri Ratu Ilma Indra Putri Rian Nazaruddin Azhar Rini Marwati Risnina Wafiqoh Saenih, Saenih SAID AKHMAD MAULANA Samsul Maarif Setiyani Setiyani Setiyani Siska Firmasari Siska Firmasari Siska Firmasari, Siska Siti Khodijah Sri Asnawati Sri Asnawati, Sri Sri Pitriayana Sutrisna, Nia Toto Subroto Trisna Roy Pradipta Trisna Roy Pradipta, Trisna Roy Utami Dewi Utami Dewi Via Dwi Handayani Via Dwi Handayani Widiharti Widiharti Yudrick Maulana Fiqri Yundha Ratnasari Zulkardi Zulkardi Zulkardi Zulkardi Zulkardi