Analisis Metode Black-Scholes dan Monte Carlo Terhadap Penentuan Opsi Jual Eropa

Abstract

Managing the risks that will occur when investing, things that can be done by trading options. Options are used as a means of hedge against the uncertainty of stock price movements. The calculation of the option price is done using two methods, namely the Black-Scholes method and the Monte Carlo method. This study aims to compare the results of determining the price of European put options using the Black-Scholes and Monte Carlo methods. This type of research is basic research The data used is the daily closing price of the pharmaceutical industry in Indonesia for the period August 2020 to August 2021 with a maturity of 3 months. From the results of the study obtained the price of the option to sell the Black-Scholes method of Rp. 617,3699, - and the Monte Carlo method of Rp. 627,2270,- shows the price of the Black-Scholes method of selling options is lower than the Monte Carlo method. This shows that the Black-Scholes method has better results than the Monte Carlo method in determining the price of stock options. Based on the results of the calculation of the average difference test in determining put options using the Black-Scholes and Monte Carlo methods, it shows that there is no significant difference between the two methods.