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Abstract
The purpose of this research is to find the value of call and put option of LQ45 Index in Indonesia Stock Exchange with Black S choies Model and to analyzed the sensitivity of index's price with Delta, gamma, Vega, theta, and Rho. This research, using historical volatility to find the volatility.
The result shows that the volatility of the index LQ45 is 32%. There are 3 condition to find the price of call and put option. The price of call option and put option when S<X is 51.08 and 104.19. The result of sensitivity analysis when S<X is : deltacall (0.51), Delta Put (-0.49), Gamma (0.0002004), vega (254.32), theta call (-0.12), Theta Put (0.03), Rho call (135.49), and Rho Put (-161.19). The price of call option and put option when S=X is 69.55 and 89.12. The result of sensitivity analysis when S=X is : deltacall (0.59), Delta Put (-0.41), Gamma (0.0001959), vega (275.51), theta call (-0.17), Theta Put (-0.03), Rho call (164.76), and Rho Put (-132.02). The price of call option and put option when S>X is 90.89 and 76.91. The result of sensitivity analysis when S>X is : deltacall (0.68), Delta Put (-0.32), Gamma (0.0002011), vega (311.83), theta call (-0.24), Theta Put (-0.24), Rho call (192.53), and Rho Put (-105.67).
Key words: call option, put option, black scholes model, volatility, delta, gamma, vega, theta and rho.
(ProQuest: ... denotes formulae omitted.)
Research Background
Derivative products have considerably developed in the recent 20 years. This case is related to the need of finding a solution towards financial pressure as well as financial marketing development. The use of derivative as the investment means in the capital market and financial trade has increased followed by the development and deregulation of global financial trade. One of derivative products is option, which is based on the underlying asset.
Option is a contract between an option seller and an option buyer, in which the option seller ensures that there is right (not obligation) of the option buyer to buy or sell particular stock in certain cost and time (Tendelilin, 2001). Based on the agreed form of stock, the option can be grouped into two: call option and put option. Call option gives the right towards the holder to...