Penentuan Harga Opsi Put Eropa Dengan Persamaan Black Scholes  

Oleh:

Silalahi, Agustinus

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Metris: Jurnal Mesin, Elektro, Industri dan Sains vol. 5 no. 1 (Mar. 2004), page 53-60.
Topik: Stochastic; Stochastic (geometric Brownian motion); Financial Investment (option); Statistics (normal distribution).
Fulltext: hal 53-60.pdf (249.86KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: MM42.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

One of the way to protect the share value is Option. European Put Option protects the share if the value going down at the maturity date (T). Black Scholes formula which used to derive the value of European Put Option. If one of or more the variable strike price, Maturity date or risk free rate going up, the price of European Put Option will going up too. If the option to be exercised at maturity date, the pay off is KF(T), where K is the strike price and F (T) is the share value at maturity date T. The pay off European Put Option not depends on the fluctuation share value which happened before the maturity date.

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