Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi

Surya Amami Pramuditya

Abstract


ABSTRAK

Opsi 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

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Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.