PENENTUAN HARGA OPSI DENGAN MODEL BLACK-SCHOLES MENGGUNALKAN METODE BEDA HINGGA FORWARD TIME CENTRAL SPACE

Werry Febrianti


DOI: https://doi.org/10.14710/jfma.v1i1.6

Abstract


Option can be defined as a contract between two sides/parties said party one and party two. Party one has the right to buy or sell of stock to party two. Party two can invest by observe the put option price or call option price on a time period in the option contract. Black-Scholes option solution using finite difference method based on forward time central space (FTCS) can be used as the reference for party two in the investment determining. Option price determining by using Black-Scholes was applied on Samsung stock (SSNLF) by using finite difference method FTCS. Daily data of Samsung stock in one year was processed to obtain the volatility of the stock. Then, the call option and put option are calculated by using FTCS method after discretization on the Black-Scholes model. The value of call option was obtained as $1.457695030014260 and the put option value was obtained as $1.476925604670225.


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References


Tandelilin, E. (2010). Portofolio dan Investasi. Yogyakarta : Kanisius.

Hull, John C. (2009). Options, Futures, and Other Derivatives. USA : Pearson Prentice Hall.

Higham, Desmond J. (2004). An Introduction to Financial Option Valuation. New York : Cambridge University Press.

McDonald, Robert L. (2006). Derivatives Markets. USA : Pearson Education, Inc.

www.finance.yahoo.com. Diakses Februari 2018.


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