Aplikasi Model Binomial dalam Forward Contract dan Forward Exchange RateContract
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Date
2013Author
Haryanto
Setiawaty, Berlian
Budiarti, Retno
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Investors have purposed to obtain a maximum return, but they must be carefull to put the money because they would take a risk. Therefore, products are introduced to reduce the risk. They are called derivative products. There are many kinds of derivative products, such as forward contract and forward exchange rate contract. A forward contract is an agreement or a contract to buy or sell assets with delivery at a specified time and price. A forward exchange rate contract is an agreement or a contract to buy or sell a specified amount of money with a specified exchange rate at a specified time, no matter what the actual exchange rate is at specified time. In this paper, the price of derivative products at a discrete time will be determined using binomial model. A binomial model is a model that describes asset price movements by assuming two possibilities of asset price movements in the future that is, up or down. An underlying of binomial model is one-step binomial model, which is the known prices today can be two possible value in the future. One-step binomial model can be expanded to become multi-step binomial model. In this paper, one-step binomial and multi-step binomial model are used to determining the price of forward contract, and forward exchange rate contract. This model can be applied to the case study of overseas transaction at PT Bina pertiwi on the periode of Januari-September 2012. The best result that is obtained in the case of overseas transaction at PT Bina Pertiwi is the model using forward exchange rate contract. Model using forward exchange rate contract is able to decrease compensation as big as Rp280.783.944,55
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