PERHITUNGAN HARGA OPSI CALL POWER ASIA DENGAN PAYOFF NONLINIER PADA SAHAM INTEL CORPORATION

Authors

  • Eki Anggara
  • Riri Lestari
  • Ahmad Iqbal Baqi

DOI:

https://doi.org/10.25077/jmu.6.2.20-24.2017

Abstract

Penelitian ini bertujuan untuk mengetahui cara menentukan harga dari suatu opsi call power asia dengan payoff nonlinier. Dalam penelitian ini, data yang digunakan adalah data sekunder pada perusahaan Intel Corporation. Hasil yang diperoleh dapat disimpulkan bahwa opsi call power asia dengan payoff nonlinier dipengaruhi oleh beberapa faktor antara lain harga saham awal periode, waktu jatuh tempo, harga pelaksanaan, tingkat suku bunga bebas resiko, volatilitas dan parameter power α.

Kata Kunci: Opsi Call Asia,Opsi Call power Asia, Model Black Scholes, Payoff Nonlinier

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Published

11-07-2017

Issue

Vol. 6 No. 2 (2017)

Section

Articles

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