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http://repository.ipb.ac.id/handle/123456789/115517
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DC Field | Value | Language |
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dc.contributor.advisor | Nugrahani, Endar Hasafah | - |
dc.contributor.advisor | Lesmana, Donny Citra | - |
dc.contributor.author | Riandi, Dzaky | - |
dc.date.accessioned | 2022-12-13T03:53:04Z | - |
dc.date.available | 2022-12-13T03:53:04Z | - |
dc.date.issued | 2022 | - |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/115517 | - |
dc.description.abstract | Untuk menghindari kerugian investor pada saham, salah satu strategi yang biasa diterapkan adalah dengan strategi opsi untuk melindungi dari kerugian. Pada penelitian ini, untuk melindungi nilai saham NVIDIA, akan dibandingkan opsi Asia dan opsi Vanilla menggunakan strategi straddle. Metode yang digunakan adalah simulasi Monte Carlo dan Black Scholes Merton. Opsi Asia menggunakan rataan aritmetik dari harga saham sebagai payoff sedangkan opsi Vanilla mendapatkan payoff dari harga saham pada waktu tertentu. Strategi straddle mendapatkan keuntungan jika harga saham naik atau turun dari strike price-nya melebihi harga total premi. Maksimum keuntungan Asia dan opsi Vanilla dapat mencapai tak hingga sedangkan kerugian opsi Asia lebih rendah daripada opsi Vanilla,serta biaya opsi Asia lebih besar daripada opsi Vanilla. | id |
dc.description.abstract | To avoid loss for the investors, options strategy can be used to reduce the loss. In this study, to hedge NVIDIA stock we use straddle strategy with Asian and Vanilla options. The methods used are Monte Carlo simulation and Black Scholes Merton. Asian options use arithmetic average from stock price to get the payoff, while Vanilla options get the payoff from stock price at a specific point in time. The Straddle strategy gets profit when the rise or fall of the strike price exceeds the total premium paid. The maximum profit of Asian option and Vanilla option could be infinite while the loss of Asian option is lower than Vanilla option, more over the cost of Asian option is higher than Vanilla option. | id |
dc.language.iso | id | id |
dc.publisher | IPB University | id |
dc.title | Lindung Nilai Saham dengan Strategi Straddle Menggunakan Opsi Asia dan Opsi Vanilla | id |
dc.type | Undergraduate Thesis | id |
dc.subject.keyword | NVIDIA stock | id |
dc.subject.keyword | Asian option | id |
dc.subject.keyword | Vanilla option | id |
dc.subject.keyword | Straddle | id |
dc.subject.keyword | saham NVIDIA | id |
dc.subject.keyword | opsi Asia | id |
dc.subject.keyword | opsi Vanilla | id |
Appears in Collections: | UT - Actuaria |
Files in This Item:
File | Description | Size | Format | |
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Cover.pdf Restricted Access | 2.44 MB | Adobe PDF | View/Open | |
Full text.pdf Restricted Access | 1.01 MB | Adobe PDF | View/Open | |
Lampiran.pdf Restricted Access | 1.99 MB | Adobe PDF | View/Open |
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