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Surya Amami Pramuditya
Universitas Swadaya Gunung Jati
Religion Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi Pramuditya, Surya Amami
Sainsmat : Jurnal Ilmiah Ilmu Pengetahuan Alam Vol 5, No 1 (2016): Maret
Publisher : Fakultas Matematika dan Ilmu Pengetahuan Alam Universitas Negeri Makassar

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (1001.816 KB) | DOI: 10.35580/sainsmat5130432016

Abstract

ABSTRAKOpsi 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
Co-Authors Artisa Indariani Atina Sabila Khodijah Ayni, Nur Cita Dwi Rosita Citra Dwi Rosita Dede Syaefullah Diding Yadi Sahputra Entit puspita Feriatna, Troynanda Fuji Azzumar Gina Kustina Pujakusuma Handayani, Via Dwi Herri Sulaiman, Herri Ika Wahyuni Indariani, Artisa Iwan Supriadi Jajo Firman Raharjo Muchamad Subali Noto Neneng Aminah Nia Sutrisna Nida Nur'azizzah Purwono, Henri Rian Nazaruddin Azhar Rini Marwati Risnina Wafiqoh Risnina Wafiqoh SAID AKHMAD MAULANA Samsul Maarif Setiyani Setiyani Setiyani Siska Firmasari Siska Firmasari Siska Firmasari, Siska Sri Asnawati Sri Pitriayana Sutrisna, Nia Toto Subroto Trisna Roy Pradipta Trisna Roy Pradipta, Trisna Roy Via Dwi Handayani Via Dwi Handayani Yudrick Maulana Fiqri Yundha Ratnasari