PERBANDINGAN METODE BLACK SCHOLES DAN SIMULASI MONTE CARLO DALAM PENENTUAN HARGA OPSI EROPA

Authors

  • Tomi Desra Yuliandi
  • Dodi Devianto
  • Hazmira Yozza

DOI:

https://doi.org/10.25077/jmu.5.1.7-16.2016

Abstract

Abstrak. Opsi adalah suatu kontrak yang memberikan hak kepada pemegang kontrak
untuk membeli atau menjual suatu aset tertentu dengan harga dan periode tertentu.
Berdasarkan periode waktu penggunaan, opsi dapat dibedakan menjadi dua yaitu opsi
tipe Amerika dan opsi tipe Eropa. Opsi tipe Amerika menunjukkan bahwa opsi tersebut
dapat dilaksanakan pada saat jatuh tempo atau sebelumnya, sedangkan opsi tipe
Eropa hanya dapat dilaksanakan pada saat jatuh tempo. Dengan semakin berkembang
pasar opsi, semakin berkembang pula pengetahuan atau cara-cara dalam memprediksi
suatu pergerakan harga opsi dan meramalkan segalaa kemungkinan yang terjadi untuk
meminimalisir kerugian dan memaksimalkan keuntungan. Banyak metode yang digunakan
dalam menentukan harga opsi, diantaranya model Black Scholes dan simulasi
Monte Carlo. Pada penelitian ini akan dihitung harga opsi tipe Eropa dan dilihat perbandingan
antara metode Black Scholes dan simulasi Monte Carlo. Metode Black Scholes
yang digunakan untuk menghitung harga opsi adalah dengan asumsi bahwa harga saham
berdistribusi lognormar. Sedangkan metode Monte Carlo diartikan sebagai metode
statistik karena metode simulasi ini menggunakan rangkaian bilangan acak. Perhitungan
dengan menggunakan simulasi Monte Carlo adalah untuk mendapatkan pendugaan
harga opsi. Untuk menghitung harga opsi dengan simulasi Monte Carlo, penulis menggunkan
bantuan MATLAB. Hasil perhitungan harga opsi menggunakan metode Black
Scholes akan dibandingkan dengan hasil perhitungan harga opsi dengan menggunakan
simulasi Monte Carlo dengan berpatokan pada harga opsi di pasar keuangan.

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Published

01-03-2016

How to Cite

Yuliandi, T. D., Devianto, D., & Yozza, H. (2016). PERBANDINGAN METODE BLACK SCHOLES DAN SIMULASI MONTE CARLO DALAM PENENTUAN HARGA OPSI EROPA. Jurnal Matematika UNAND, 5(1), 7–16. https://doi.org/10.25077/jmu.5.1.7-16.2016

Issue

Vol. 5 No. 1 (2016)

Section

Articles

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