PENENTUAN HARGA OPSI BELI URBUN DENGAN MENGGUNAKAN MODEL BLACK-SCHOLES (URBUN CALL OPTIONS VALUATION USING BLACKSCHOLES MODEL)

BAWAZIR, NABIH IBRAHIM, Abdurakhman

2016 | Disertasi | FMIPA

Local investors are still reluctant to invest in the stock market due to several reasons, namely: (i) the initial deposit is expensive, (ii) the high cost to form an efficient and optimal portfolio, (iii) high volatility, and (iv) the high doubts about the investment halalness in BEI. Therefore, it takes a special convenience for local investors that can catalyze capitalization, decreases volatility and able to answer halalness issues according sharia. Based on the opinion of the scholars, it is necessary to adapt financial option into down payment form securities to solve that problem, which is urbun call option. Urbun call option price is more expensive than European-type call option because it has the ability to reduce redemption cost. When the maturity of urbun goes higher, the urbun call option price would be higher. There is no simple correlation between price and the down payment. Another result obtained is that the formula urbun allow negative results as well as over its stock price.

Kata Kunci : option; urbun call option, Black-Scholes, Jakarta Islamic Index