ANALYSIS OF OPTION CONTRACT INVESTMENT WITH PUT-CALL PARITY APPROACH METHOD ON IHSG & LQ 45 2009 – 2012 PERIOD

MUHAMMAD RIZKY FEDAYEEN

Informasi Umum

Kode

14.04.1025

Klasifikasi

332.632.283 - Options, Puts and calls

Jenis

Karya Ilmiah - Skripsi (S1) - Reference

Subjek

Options

Dilihat

18 kali

Informasi Lainnya

Abstraksi

ABSTRACT

This paper purpose is to analyze the return on option contract in IHSG and LQ45 2009-2012 period using Put Call Parity method. Put Call Parity methodology, proposed by Stoll (1979) is used to find the relation between put and call price with assumption there be will no dividend and using European option for the transaction. 
The author is using the Black Scholes Method to find the value of the call option and using Put Call Parity to find the value of put option. As the free rate risk, the author is using Bank of Indonesia interest rate (BI Rate) and using the assumption that is  volatility constant all the time. the execution of the option is depending on the price in the expiration date.
The result found that the return of the method are not producing profit for the investors in IHSG and LQ45 2009-2012 periods and the research found that shorter period are better to initiate the contract

Keywords: Investment, Option Market, IHSG, LQ45, Put Call Parity, Black Scholes