Black dan Scholes (1973) mengembangkan suatu metode penentuan harga opsi yang telah banyak diterapkan baik dalam konteks akademik maupun praktis. Asumsi praktis dalam metode Black-Scholes adalah return saham mengikuti distribusi normal dengan volatilitas konstan. Pada kenyataannya, bursa seringkali melakukan pembatasan terhadap pergerakan perubahan harga harian suatu aset. Sebagai akibat dari adanya pembatasan ini, range return (dalam bentuk logaritma) dari aset-aset yang diperdagangkan tersebut tidak lagi berada dalam interval (-∞,∞), akan tetapi terpotong di atas dan di bawah. Adanya pembatasan pada perubahan harga harian aset tersebut akan berakibat pada kurang tepatnya metode Black-Scholes, sehingga dikembangkan suatu metode baru yaitu Truncated Black-Scholes. Selanjutnya, dilakukan perbandingan antara harga opsi yang diperoleh dengan metode Truncated Black-Scholes dan metode Black-Scholes terhadap harga opsi di pasar. Dengan menggunakan SRPE (Squared Relative Price Error) sebagai kriteria penentuan harga opsi, hasil menunjukkan bahwa metode Truncated Black-Scholes lebih baik dibandingkan metode Black-Scholes.

Black and Scholes (1973) developed an option pricing method which has been widely applied in both academic and practical contexts. Impractical assumptions made by the Black-Scholes method including constant volatility of stock return and normal distribution of return. In fact, daily price limits are implemented in many stock exchanges. As a result of the limitation, the range returns (in the form of logarithms) of the assets traded are no longer be in the interval (-∞,∞), but truncated up and low. With the limitation on daily price changes of these assets, Black-Scholes method is considered less precise. Therefore, a new method called Truncated Black-Scholes is developed. Furthermore, we compare the option price obtained by Truncated Black-Scholes method and the Black-Scholes method with option market price. Using SRPE (Squared Relative Pricing Error) as the criterion of option pricing, the result demonstrates that Truncated Black-Scholes method performs better than Black- Scholes method.

Kata Kunci : harga opsi, Black-Scholes, Truncated Black-Scholes, Truncated Distribution