PENENTUAN HARGA OPSI EROPA MENGGUNAKAN METODE BINOMIAL DIPERCEPAT

Mudayanti, Wulansari (2013) PENENTUAN HARGA OPSI EROPA MENGGUNAKAN METODE BINOMIAL DIPERCEPAT. Other thesis, Universitas Pendidikan Indonesia.

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Abstract

Opsi merupakan suatu kontrak mengenai jual-beli aset pokok antara writer dan holder. Metode Binomial dipercepat merupakan pengembangan dari metode Binomial CRR. Metode Binomial dipercepat yaitu menghilangkan osilasi harga opsi Eropa pada metode Binomial CRR dengan menggunakan ekstrapolasi Richardson. Ekstrapolasi Richardson bisa digunakan apabila dilakukan pemulusan kurva terlebih dahulu. Pemulusan kurva itu disebut MOT (Middle of Tree). Pengaruh parameter terhadap harga opsi Eropa yaitu harga saham awal dan tingkat suku bunga berbanding lurus dengan harga opsi call Eropa dan berbanding terbalik dengan harga opsi put Eropa. Sebaliknya, harga kesepakatan berbanding terbalik dengan harga opsi call Eropa dan berbanding lurus dengan harga opsi put Eropa. Selain itu, waktu jatuh tempo dan volatilitas berbanding lurus dengan harga opsi call Eropa dan harga opsi put Eropa. Dilihat dari keakuratan dan kecepatan harga opsi, harga opsi metode Binomial dipercepat lebih akurat dan lebih cepat konvergen terhadap harga opsi model Black-Scholes dibandingkan harga opsi Eropa metode Binomial CRR. Kata kunci: Saham, Opsi Eropa, Metode Binomial CRR, Metode Binomial Dipercepat European option is the contract of asset’s trading between writer and holder. Accelerated Binomial method is a development of Binomial CRR method. Accelerated Binomial method is to eliminate oscillation price of European option on Binomial CRR method using Richardson extrapolation. Richardson extrapolation can be applied if smooth curve is done. Smooth curve is called MOT (Middle of Tree). Parameters effect price of European option that is price of initial stock price and interest rates are directly proportional price of European option call and inversely proportional price of European option put. On the other hand, strike price is inversely proportional price of European option call and inversely proportional price of European option put. Besides that, expiration date and volatility are directly proportional price of European option call and price of European option put. According the accuracy and speed of price option Black-Scholes model, price option accelerated Binomial method is more accurate and faster than price option Binomial CRR method. Key words: Stock, European Option, Binomial CRR Method, Accelerated Binomial Method.

Item Type: Thesis (Other)
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 Pendidikan Matematika
Depositing User: Riki N Library ICT
Date Deposited: 27 Aug 2013 08:00
Last Modified: 27 Aug 2013 08:00
URI: http://repository.upi.edu/id/eprint/525

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