Abstract
Investment is a very sensitive matter especially relating to securities commonly known as shares. Shares are not merely as securities or certificates of ownership but as a business area in achieving profits. One alternative factor for investment is option. Stock options are one of the trading tools used to secure stock investments owned by investors. The real value of stock options can be known when the due date. The stock option value formula can be used to find out the value before the due date. The most widely known stock option value is to use the Black-Scholes equation which is obtained from a constant volatility value. Then it was developed because it saw the conditions in the market based on the volatility of the value (not constant). The purpose of this study is to determine the value of stock options in the market based on volatile values ??that change using the Constant Elasticity of Variance model with the limit of European stock purchase options. If the resulting stock option value is greater than the option price in the market, investors are advised to buy the stock option.
Highlights
very sensitive matter especially relating to securities commonly known as shares
secure stock investments owned by investors
The stock option value formula can be used to find out the value before the due date
Summary
Dewasa ini pasar modal sudah sangat berkembang sebagai tempat jual beli beberapa asset keuangan yaitu saham. Model Black-Scholes hanya dapat digunakan untuk menghitung opsi saham jual maupun opsi saham beli tipe Eropa serta terdapat nilai volatilitas yang konstan. Terdapat berbagai model dalam perhitungan volatilitas stokastik salah satunya model constant elasticity of variance yang sesuai dengan permasalahan untuk mendeskripsikan hubungan kebalikan antara volatilitas dengan harga saham yang tidak konstan maka dapat menggunakan model constant elasticity of variance (CEV) (Randal, 1998). Pada perhitungan harga opsi menggunakan model CEV akan menghasilkan nilai yang lebih realistis karena mempertimbangkan volatilitas yang berubahubah sesuai kondisi nyata di pasar. Dan merupakan return saham seperti yang dinyatakan sebagai (2) merupakan harga saham saat periode dan merupakan harga saham pada periode sebelum periode Harga opsi beli tipe Eropa yang ditentukan oleh rumus Black Scholes adalah: dengan () Berdasarkan nilai volatilitas yang diperoleh maka dapat ditentukan nilai opsi beli Eropa dengan memperhitungkan tingkat bebas risiko yaitu:
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