PENENTUAN HARGA CALL OPSI EROPA DENGAN MENGGUNAKAN MODEL BLACK-SCHOLES, ANTITHETIC VARIATE DAN BINOMIAL

Abstract

There are several ways to determine the price of Europeancall option including the Black-Scholes Models, Monte Carlo with the Antithetic Variate technique and Binomial. This research aims to determine the price of Europeancall option using the Black-Scholes, Antithetic Variate and Binomial and to analyze the results of Europeancall option prices obtained by the Antithetic Variate and Binomial models based on Europeancall option pricescalculated using the Black-Scholes model as an analytical solution. Moreover, application models in this study uses data from the closing price of the daily stock of PT.Agro Lestari.Tbk on May 1, 2019 to April 30, 2020 so that the obtained stock price (S0) = Rp.10.875 an interest rate of 4.5%, volatility of 50.88% and the strike price (K) = Rp. 12,000. Europeancall option prices use the black-scholes model of Rp.1195,93. Furthermore, in Monte Carlo simulation with the 10.000.000thAntithetic Variate technique produces an Europeancall option price of Rp.1219.312 with an error standard of 0,5751809, while the Binomial model produces a price of an Europeancall option amounting to Rp.1235,216. The results of this study indicate that the more Monte Carlo simulations with the Antithetic Variate technique and the greater the partition Binomial model produces the price of a Europeancall option convergingto the Europeancall option price of a Black-Scholes model