xii INTISARI PENENTUAN HARGA OPSI COMPOUND

INTISARI
PENENTUAN HARGA OPSI COMPOUND CALL ON CALL EROPA
Oleh
Robbi Habibi
11/322745/PPA/03579
Dalam perdagangan saham dan opsi, pergerakan harga saham seringkali
naik turun. Hal ini menimbulkan kekhawatiran investor dalam menanamkan
investasinya disektor keuangan. Opsi Compound Call on Call Eropa adalah opsi
atas opsi. opsi Compound Call on Call Eropa akan melindungi dan meminimalisir
kerugian pemegang opsi jika harga saham dipasar turun dibawah harga kontrak.
Pada tesis ini akan dibahas mengenai perhitungan harga opsi Compound Call on
Call Eropa dengan pendekatan model Black-Scholes dan distribusi normal
bivariat.
Kata Kunci: Opsi Compound, Model Black-Scholes, Distribusi Normal Bivariat
xii
ABSTRACT
PRICING EUROPEAN CALL ON CALL COMPOUND OPTIONS
By
Robbi Habibi
11/322745/PPA/03579
In stock and options trading, stock price movements are often up and
down. This raises concerns investor to invest in the financial sector. European
Call on Call Compound Option is a option on the option. European Call on Call
Compound Options will protect and minimize the loss of the option holder if the
stock price falls below the market price of the contract. This thesis will discuss the
option price calculation Compound Call on Call Europe with the Black-Scholes
model approach and the bivariate normal distribution.
Key words: Compound Options, Black-Scholes Model, Bivariate Normal
Distribution
xiii