HARGA OPSI SAHAM TIPE AMERIKA DENGAN MODEL BINOMIAL

Authors

  • Mia Muchia Desda

DOI:

https://doi.org/10.25077/jmu.1.1.44-50.2012

Abstract

Opsi merupakan hak untuk membeli atau menjual saham
tertentu pada waktu dan harga yang telah ditentukan. Harga saham di-
asumsikan memiliki dua nilai periode yang akan datang yaitu naik atau
turun begitu pula dengan harga opsi sehingga penentuan harga opsi da-
pat didekati dengan model binomial. Pada model harga opsi terdapat
beberapa faktor yang mempengaruhi yaitu harga pelaksanaan K, waktu
jatuh tempo T, dan harga saham pada saat jatuh tempo T. Parameter
dasar yang perlu dicari untuk menentukan harga opsi yaitu tingkat ke-
naikan harga saham u, tingkat penurunan harga saham d, harga saham
awal S0, dan probabilitas risiko netral p dan q. Setelah keempat pa-
rameter tersebut diperoleh maka harga harga opsi tipe Amerika model
binomial dapat dimodelkan sebagai berikut
vN(SN) = maxfg(SN); 0g
= maxfg(SN);
1
1 + r
[pVn+1(us) + qVn+1(ds)]g
dengan n = N ô€€€ 1;N ô€€€ 2; ; 0 dan p = 1+rô€€€d
(uô€€€d) , q = uô€€€1ô€€€r
(uô€€€d) , r adalah
tingkat suku bunga bebas risiko, serta g(SN) adalah nilai intristik saham,
Vn+1(us) adalah nilai intristik opsi saat harga saham naik dan Vn+1(ds)
adalah nilai intristik opsi saat harga saham turun.

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Published

30-10-2012

How to Cite

Desda, M. M. (2012). HARGA OPSI SAHAM TIPE AMERIKA DENGAN MODEL BINOMIAL. Jurnal Matematika UNAND, 1(1), 44–50. https://doi.org/10.25077/jmu.1.1.44-50.2012

Issue

Vol. 1 No. 1 (2012)

Section

Articles

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