| dc.contributor.advisor | Erliana, Windiani | |
| dc.contributor.advisor | Lesmana, Donny Citra | |
| dc.contributor.author | Fajriah, Isna Nur | |
| dc.date.accessioned | 2021-01-27T14:39:24Z | |
| dc.date.available | 2021-01-27T14:39:24Z | |
| dc.date.issued | 2021 | |
| dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/105464 | |
| dc.description.abstract | Opsi exchange adalah opsi untuk menukar satu aset dengan aset lainnya pada saat jatuh tempo. Opsi ini secara bersamaan merupakan opsi put pada satu aset dan opsi call pada aset lainnya. Salah satu pendekatan yang dapat digunakan untuk menentukan harga opsi tersebut adalah menggunakan model Black-Scholes. Karya ilmiah ini membahas hasil penurunan dan ilustrasi model Black-Scholes untuk menentukan harga opsi exchange. Selanjutnya, pada ilustrasi model Black-Scholes juga membahas faktor-faktor yang memengaruhi harga opsi exchange, yaitu harga awal saham pertama, harga awal saham kedua, waktu jatuh tempo, nilai volatilitas harga saham, dan nilai korelasi antara harga saham pertama dan harga saham kedua. Berdasarkan hasil ilustrasi, dapat disimpulkan bahwa harga awal saham kedua, waktu jatuh tempo, dan nilai volatilitas harga saham berbanding lurus dengan harga opsi exchange, sedangkan harga awal saham pertama dan nilai korelasi antara harga saham pertama dan harga saham kedua berbanding terbalik dengan harga opsi exchange. | id |
| dc.description.abstract | Exchange option is an option to exchange one asset for another at maturity. This option is simultaneously a call option on one asset and a put option on the other asset. One of the methods that can be used to determine the option price is the Black-Scholes model. This paper discusses derivation and illustration of the Black-Scholes model to determine the price of an exchange option. Furthermore, the illustration of the Black-Scholes model also discusses factors affecting the price of exchange option, such as the current price of the first stock, the current price of the second stock, the time to maturity, the volatility of the stock price, and the correlation between the first stock price and the second stock price. Based on the illustration, it can be concluded that the current price of the second stock, the time to maturity, and the volatility of stock price are directly proportional to the price of the exchange option, while the current price of the first stock and the correlation between the first stock price and the second stock price are inversely proportional to the price of the exchange option. | id |
| dc.language.iso | id | id |
| dc.publisher | IPB University | id |
| dc.title | Penentuan Harga Opsi Exchange dengan Menggunakan Model Black-Scholes | id |
| dc.type | Undergraduate Thesis | id |
| dc.subject.keyword | Black-Scholes model | id |
| dc.subject.keyword | exchange option | id |
| dc.subject.keyword | option price | id |
