Firdaus, Fika Dara Nurina (2013) APLIKASI METODE MONTE CARLO PADA PENENTUAN HARGA OPSI EROPA. S1 thesis, Universitas Pendidikan Indonesia.
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Abstract
Opsi Eropa merupakan kontrak perdagangan aset yang hanya mengizinkan holder untuk melakukan exercise (pembelian atau penjualan aset pokok) kepada writer pada saat waktu jatuh tempo. Metode Monte Carlo merupakan metode yang memanfaatkan strong law of large number dalam melakukan perhitungan. Metode Monte Carlo menggunakan rata-rata dari kemungkinan-kemungkinan harga opsi Eropa untuk menaksir harga opsi Eropa. Terdapat lima parameter yang mempengaruhi harga opsi Eropa, yaitu harga saham awal, strike price, waktu jatuh tempo, volatilitas, serta suku bunga bebas risiko. Pada opsi call Eropa, peningkatan nilai parameter harga saham awal, waktu jatuh tempo, volatilitas, dan suku bunga bebas risiko akan menyebabkan harga opsi semakin meningkat. Sebaliknya, apabila strike price semakin meningkat, maka harga opsi call Eropa akan semakin menurun. Pada opsi put Eropa, peningkatan nilai parameter strike price, lama waktu jatuh tempo, dan volatilitas akan menyebabkan harga opsi semakin meningkat. Sebaliknya, apabila harga saham awal dan suku bunga bebas risiko meningkat maka harga opsi put Eropa akan semakin menurun. Keakuratan serta kecepatan metode Monte Carlo dalam menentukan harga opsi Eropa akan semakin baik, apabila jumlah partisi waktu yang digunakan semakin banyak. Kata Kunci: Saham, Opsi Eropa, Metode Monte Carlo European option is a selling asset contract that can be exercised (buying or selling asset) only at the end of the life. Monte Carlo method is a method which use a strong law of large number. Monte Carlo method use mean from the possibilities European option price to estimate the price of European option. There are five parameters that effect the European option price, stock price at time 0, strike price, expiration date, volatility, and risk free interest rate. In the European call option, an increase parameter value of stock price at time 0, expiration date, volatility, and risk-free interest rates will cause the price of the option increases. Conversely, if the strike price increases, the price of the European call option will decrease. In the European put option, an increase parameter value of the strike price, expiration date, and volatility will cause the price of the option increases. Conversely, if the initial stock price and the risk-free interest rate increases, the price of the European put option will decrease. If more number of time partitions are used, the accuracy and speed of Monte Carlo methods in determining the price of European option are better. Key words: Stock, European Option, Monte Carlo Method.
| Item Type: | Thesis (S1) |
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| Subjects: | Universitas Pendidikan Indonesia > Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika > Program Studi Pendidikan Matematika |
| Divisions: | Fakultas Pendidikan Matematika dan Ilmu Pengetahuan Alam > Jurusan Pendidikan Matematika > Program Studi Matematika (non kependidikan) |
| Depositing User: | Riki N Library ICT |
| Date Deposited: | 27 Aug 2013 07:21 |
| Last Modified: | 27 Aug 2013 07:21 |
| URI: | http://repository.upi.edu/id/eprint/354 |
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