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Penentuan Harga Opsi Call Window Reset Menggunakan Metode Binomial Tree Dan Trinomial Tree

Author

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  • Meliyani, Revi
  • Nugrahani, Endar H
  • Lesmana, Donny Citra

Abstract

Opsi window reset merupakan salah satu jenis opsi yang bersifat path-dependent sehingga nilai opsi tersebut tidak mempunyai rumus eksak. Oleh karena itu, dibutuhkan metode numerik untuk menentukan nilainya. Penelitian ini membahas tentang penentuan harga opsi call window reset dengan menggunakan salah satu metode numerik. Jenis metode numerik tersebut, yakni metode tree yang terdiri dari binomial tree dan trinomial tree. Jika harga saham semakin kecil dan menyentuh reset strike, harga strike akan di-reset ke harga yang baru sehingga nilai opsi pun menjadi semakin meningkat. Sebaliknya jika harga saham tidak menyentuh reset strike maka harga strike tidak akan berubah sampai masa jatuh tempo opsi. Setelah dilakukan simulasi numerik, harga opsi call window reset cenderung sama pada kedua metode tree tersebut dan harga opsi call window reset cenderung lebih tinggi dibandingkan dengan harga opsi call Eropa standar.

Suggested Citation

  • Meliyani, Revi & Nugrahani, Endar H & Lesmana, Donny Citra, 2018. "Penentuan Harga Opsi Call Window Reset Menggunakan Metode Binomial Tree Dan Trinomial Tree," INA-Rxiv fvywc, Center for Open Science.
    • Handle: RePEc:osf:inarxi:fvywc
    DOI: 10.31219/osf.io/fvywc
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