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primary topic: PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO

PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO
type: Thesis
type: Article
abstract: Options play an important role in the derivatives market. According to their rights, options can be divided into two types: call options and put options, while according to the time of exercise, options can be divided into European options and American options. European call option is an agreement contract that gives the option buyer the right to buy a stock at a certain price at maturity. In this study, the option price will be determined using the Black-Scholes model and Monte Carlo simulation. The Black-Scholes model is an analytical method in determining option value that is often used and this model can only be used for European type options. The Monte Carlo simulation method is a numerical method by performing repeated simulations, the more the number of simulations performed, the more accurate the results will be the approach value. The data used in this study are daily stock data of Honda Motor Co., Ltd. (HMC) for the period June 18, 2023 - June 18, 2024. This study was conducted with the aim of comparing the option prices generated by the Black-Scholes model and Monte Carlo simulation. Option prices with Monte Carlo simulation for a simulation of 300,000 times have an average error value of predicted price data against empirical price data of 1.011, while the Black-Scholes model produces a value of 1.017. In this case study, Monte Carlo simulation is more accurate in predicting the purchase option price when compared to the Black-Scholes model.
date: 2024-08-23
status: published
author list: authors
type: EPrint
type: ThesisEPrint
is part of: repository
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subject: 510 Mathematics (Matematika)

PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Text)
type: Document
has file: 20106010047_BAB-I_IV-atau-V_DAFTAR-PUSTAKA.pdf
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PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Text)
type: Document

UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

FAKULTAS SAINS DAN TEKNOLOGI, UIN SUNAN KALIJAGA YOGYAKARTA
type: Organization

NIM.: 20106010047 Siti Iseu Nurparida
type: Person
given name: NIM.: 20106010047
family name: Siti Iseu Nurparida

PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Other)
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PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Other)
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PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Other)
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is version of: PENENTUAN HARGA OPSI BELI EROPA MENGGUNAKAN MODEL BLACK-SCHOLES DAN SIMULASI MONTE CARLO (Text)
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510 Mathematics (Matematika)
type: Concept