PENENTUAN HARGA OPSI BELI TIPE UNTUK RETURN SAHAM YANG BERDISTRIBUSI FAT TAIL DI PASAR MODAL INDONESIA

Abstract

Options as one of the derivatives of financial instruments sold in the capital market are relatively safe forms of investment. In addition to hedge or safer protection, the price offered is cheaper compared to the parent financial instrument. In this study, the determination of the buy option price uses a Black-Scholes model that is slightly modified and uses stock data in Indonesia that has abnormal stock returns or fat tail distribution. The objectives of this study are: (1) To find out the price of a European type purchase option for stock returns that has a fat tail distribution in the Indonesian capital market; (2) Knowing the fair option price to be traded on the Indonesian capital market. This type of research is applied research using quantitative data. This research begins by modeling stock prices using stochastic differential equations. Next, determining the price of a European type buy option using the Black-Scholes model approach with the assumption that the return has a fat tail distribution. Lemma It is used to determine the derivatives of the Black-Scholes model. The results of the study are: (1) The price of a European type purchase option for stock returns that distributes fat tail by using the prices of shares traded in the Indonesian capital market is relatively cheaper and fairer compared to the European option using Black-Scholes ; (2) The price of the European type of purchase option generated is very dependent on the initial stock price (S0), the contract price assumption (K), the risk interest rate (r), maturity time (T), and the Pareto distribution parameter value