PENILAIAN OPSI PUT-CALL DAN SIMULASI STRATEGI UNTUK BERDAGANG KONTRAK OPSI SAHAM DI BURSA EFEK INDONESIA (PT. BEI)

Tirtoprojo, Susanto (2008) PENILAIAN OPSI PUT-CALL DAN SIMULASI STRATEGI UNTUK BERDAGANG KONTRAK OPSI SAHAM DI BURSA EFEK INDONESIA (PT. BEI). Masters thesis, Universitas Sebelas Maret.

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    Abstract

    This study aimed at examining the real SOC (Stock Option Contruct) price from its intrinsic value, and defining a simulation of trading strategy in order to hedge and speculate at the JSX (Jakarta Stock Exchange). To achive the above aims this study analysed data of all SOC ransactions executed from 2004 to 2006 in the form of monthly contracts and exercises of stock price, other exercise’ price, due dates, and the premium prices of the SOC the BSOP (Black, Scholes, and Morton Option Pricing) was utilized to determine the SOC value. In defining the trading strategic simulation, this study employed strategic guidances from literatures and internet site on the SOC. After applying the BSOP, this study uncovered that the SOC price was an intrinsic value which, then, was used to compare with the SOC premium price at the JSX. In addition, this study found that the application of the SOC price as a trading strategic simulation would result in an optimal capital gain at a relatively low risk. This finding suggest that investor could determine the SOC trading strategy at an investment portfolio which has relatively securer and higher return compared to investment on the underlying stock only. Even though the SOC investment was more beneficial than its underlying stock, and yet the SOC transaction was still relatively small, it is, therefore, recommendable to further research for identifying the frequency of the SOC transactions determining factors.

    Item Type: Thesis (Masters)
    Subjects: H Social Sciences > HB Economic Theory
    H Social Sciences > HD Industries. Land use. Labor
    H Social Sciences > HJ Public Finance
    Divisions: Pasca Sarjana > Magister > Magister Manajemen
    Depositing User: Users 837 not found.
    Date Deposited: 17 Aug 2013 22:33
    Last Modified: 17 Aug 2013 22:33
    URI: https://eprints.uns.ac.id/id/eprint/8131

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