MODEL BLACK SCHOLES DAN RASIO LINDUNG NILAI UNTUK OPSI SAHAM TIPE EROPA DENGAN PEMBAGIAN DIVIDEN (STUDI KASUS PADA SAHAM BANK OF AMERICA CORPORATION)

Abstract

ABSTRACT

Option contracts give their holders the right to buy and sell a specific asset (stock) at some specified price on or before a specified date (maturity time). For European stock options, they allow their holder the right of exercise only on the expiration date. The contract option formula may be formed by a stochastic process into Black Scholes model with non-dividend payment assumption during the life of an option. In reality, some companies on the capital market often pay the stable dividends based on time. So that the Black Scholes model for European stock options need to be modified with risk-neutral valuation method used differencial stochastic equation. In this case it is used delta to show the option price sensitivity to the change of the price from the underlying stock. The case study took data from Bank of America Corporation. The data was accessed on March 19,2014 for one year period. It is obtained the difference between option price with and without dividend payments and the option price in capital market significantly. As a recommendation to control the investation risk, it will be better if the call option’s writer do delta hedging when the stock price is drop. On the other hand, the put option’s writer shouldn’t do the delta hedging when the stock price is drop at maturity time.

Keywords: Option, Stochastic Process, Stochastic Differential Equation, Neutral Risk, Black Scholes, Delta Hedging,