Penentuan Harga Opsi Barrier Menggunakan Metode Trinomial Kamrad-Ritchken Dengan Volatilitas Model Garch
Abstract
Abstract. This study aims to minimize the violation of the assumptions of determining price options by taking into account the actual market conditions in order to obtain the right price that will provide high profits for investors. The method used to determine the option price in this study is the Kamrad Ritchken trinomial with volatility values that will be modeled first using GARCH. The data used in this study is daily data (5 working days per week) from the closing price of the stock price of PT. Bank Rakyat Indonesia, Tbk (BBRI. Based on the results of the research, the best model is GARCH (1,1). For the call up barrier option, increase the strike price with the initial price and barrier which causes the option price to call up the barrier "in" and "out" decreases, on the contrary to the put barrier option, an increase in strike price with the initial price and a barrier that causes the put barrier option price to both put up-in and put up-out. initial and barrier which still causes the call down barrier option price both in and out decreases, on the contrary in the put down barrier option, increasing strike price with the initial price and barrier which causes the put down barrier option price to increase in and out.
Keywords: Barrier Options, Trinomial, Kamrad Ritchken, Volatility, GARCH
Abstrak. Penelitian ini bertujuan untuk meminimalkan pelanggaran asumsi-asumsi penentuan harga opsi dengan memperhatikan kondisi pasar yang sebenarnya sehingga diperoleh harga yang tepat yang akan memberikan keuntungan tinggi bagi investor. Metode yang digunakan untuk menentukan harga opsi dalam penelitian ini adalah trinomial Kamrad Ritchken dengan nilai volatilitas yang akan dimodelkan terlebih dahulu dengan menggunakan GARCH. Data yang digunakan dalam penelitian ini adalah data harian (5 hari kerja per minggu) dari harga penutupan harga saham PT. Bank Rakyat Indonesia, Tbk (BBRI). Berdasarkan hasil penelitian diperoleh model yang paling baik adalah GARCH (1,1). Untuk opsi call up barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call up barrier baik "in" maupun "out" menurun, sebaliknya pada opsi put barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put barrier baik put up-in maupun put up-out meningkat. Sedangkan untuk opsi call barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi call down barrier baik in maupun out menurun, sebaliknya pada opsi put down barrier, peningkatan strike price dengan harga awal dan barrier yang tetap menyebabkan harga opsi put down barrier baik in maupun out meningkat.
Kata Kunci : Opsi Barrier, Trinomial, Kamrad Ritchken, Volatilitas, GARCH
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DOI: https://doi.org/10.17509/jimb.v10i1.16163
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