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Marthin Nosry Mooy
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PENENTUAN HARGA OPSI PUT DAN CALL TIPE EROPA TERHADAP SAHAM MENGGUNAKAN MODEL BLACK-SCHOLES Marthin Nosry Mooy; Agus Rusgiyono; Rita Rahmawati
Jurnal Gaussian Vol 6, No 3 (2017): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (422.448 KB) | DOI: 10.14710/j.gauss.v6i3.19344

Abstract

Option is a contract that gives the right, but not obligation, to individuals to buy (call) or sell (put) certain stocks by a certain price at a specified date. One method that can be used to estimate option price is by using Black-Scholes Model. This model is introduced by Fisher Black and Myron Scholes in 1973. Black-Scholes Model was derived in certain assumptions, such as no dividens, no transaction cost, free-risked interest rates, the option is “European”, and stock price follows a random walk in continuos time, thus the distribution of possible stock prices is lognormal. Application of Black-Scholes Model on Honda Motor Company, Ltd.’s stocks shows that investors can get profits by investing on certain contracts, which is call options with the price of 10,1 US$; 8,9 US$; and 1,15 US$, and also put option with the price of 6,12 US$, all with maturity date at January 20th 2017. Keywords: Option, call option, put option, stock, Black-Scholes model.
Co-Authors Agus Rusgiyono Rita Rahmawati