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All Journal International Journal of Global Operations Research
Putri, Natasya Pradini
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Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Engineering Mathematics

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Analysis of Put and Call Option Pricing on BCA Stock Using the Black-Scholes Model: Financial and Risk Management Perspective Palbeno, Angela Ratna Sari; Putri, Natasya Pradini
International Journal of Global Operations Research Vol. 5 No. 3 (2024): International Journal of Global Operations Research (IJGOR), August 2024
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v5i3.299

Abstract

The Indonesian stock market, especially PT Bank Central Asia (BCA) stock experiences high volatility. Therefore, this research is very important to provide a deeper understanding of the pricing of put and call options as a risk management instrument. This study aims to analyze the pricing of put and call options on PT Bank Central Asia (BCA) shares using the Black-Scholes model and identify factors that affect stock price fluctuations on option prices. This study aims to understand the changes in put and call option prices on PT Bank Central Asia (BCA) shares caused by fluctuations in stock prices. This study uses historical data of PT Bank Central Asia (BCA) shares, volatility, and current interest rates as the basis for analysis. The Black-Scholes method is used as a framework to analyze the pricing of put and call options by considering volatility and interest rates. The results of this study analyze the price changes of put and call options in the face of stock price fluctuations and the factors that affect option prices so as to provide insight into risk management and investment decision making. This research is expected to provide practical guidance for investors and risk managers in making decisions related to put and call options on PT Bank Central Asia (BCA) shares.
Application of the Geometric Brownian Motion Model and Value at Risk Calculation on the Stock of PT Bank Tabungan Negara (Persero) Tbk: Stock of PT Bank Tabungan Negara (Persero) Tbk Putri, Natasya Pradini; Palbeno, Angela Ratna Sari
International Journal of Global Operations Research Vol. 6 No. 4 (2025): International Journal of Global Operations Research (IJGOR), November 2025
Publisher : iora

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.47194/ijgor.v6i4.407

Abstract

The fluctuating nature of stock prices creates risks for investors, making quantitative methods essential for predicting price movements and estimating potential losses. This study applies the Geometric Brownian Motion (GBM) model to simulate the stock price dynamics of PT Bank Tabungan Negara (Persero) Tbk (BBTN) and calculates the Value at Risk (VaR) using the Monte Carlo simulation method. Daily closing price data from May 26 to September 26, 2025, were analyzed and confirmed to follow a normal distribution based on the Kolmogorov–Smirnov test. The results indicate a high prediction accuracy with a Mean Absolute Percentage Error (MAPE) of 7.95%. The estimated daily VaR for an initial capital of IDR 100,000,000 ranges from IDR 97,974 to IDR 114,045, corresponding to confidence levels between 80% and 99%. Keywords: Geometric Brownian Motion, Value at Risk, Monte Carlo, stock.
Co-Authors Palbeno, Angela Ratna Sari