Penentuan Harga Opsi Beli Tipe Eropa dengan Adanya Biaya Short-selling

RIFDAH JENITA HAREFA, Dr. Herni Utami, M.Si.

2020 | Skripsi | S1 STATISTIKA

Black dan Scholes (1973) mengembangkan suatu model penentuan harga opsi yang telah banyak digunakan baik dalam akademik maupun praktis. Model ini memiliki salah satu asumsi dimana transaksi short selling diizinkan. Aktivitas pembelian saham yang umum dan sederhana adalah membeli di harga rendah dan kemudian menjualnya ketika harganya tinggi. Short-selling adalah kebalikannya, yaitu menjual saham di harga tinggi dan baru kemudian membeli saham tersebut ketika harganya turun. Transaksi short-selling dapat mempengaruhi pergerakan harga saham dimana harga saham juga akan mempengaruhi harga opsi. Sehingga dikembangkanlah model untuk memprediksi harga opsi dimana tedapat faktor biaya short-selling. Model perkembangan ini memodifikasi model Black-Scholes pada opsi beli tipe Eropa yang telah ada dan membuat model sesederhana mungkin untuk menentukan harga opsi dimana terdapat biaya short-selling. Model modifikasi Black-Scholes Short-selling memanfaatkan informasi Short Interest dan Cost to Borrow untuk menentukan harga opsi beli tipe Eropa dengan adanya biaya short-selling. Selanjutnya, dilakukan perbandingan antara harga opsi yang diperoleh dari model Black-Scholes dan Black-Scholes Short-selling pada data pengujian. Dengan menggunakan SRPE (Squared Relative Price Error) sebagai kriteria penentuan harga opsi, diperoleh hasil bahwa model Black-Scholes Short-selling lebih baik dibandingkan dengan model Black-Scholes.

Black and Scholes (1973) developed an option pricing model that has been widely used both academically and practically. This model has one of the assumptions where short selling transactions are permitted. A common and simple stock purchase activity is buying at a low price and then selling it when the price is high. Short-selling is the opposite, which is to sell shares at a high price and then buy the stock when the price goes down. Short-selling transactions can affect the movement of stock prices where the stock price will also affect the price of options. So a model is developed to predict the price of an option where there is a short-selling cost factor. This development model modifies the Black-Scholes model for existing European call options and makes the model as simple as possible to determine the price of options where there are short-selling costs. The Black-Scholes Short-selling modification model utilizes the Short Interest and Cost to Borrow information to determine the price of European call options with the cost of short-selling. Furthermore, we compare the option price obtained by the Black-Scholes model and Black-Scholes Short-selling models in the test data. By using SRPE (Squared Relative Price Error) as the criterion of option pricing, the results obtained that the Black-Scholes Short-selling model performs better than the Black-Scholes model.

Kata Kunci : option price, Black-Scholes, Short-selling, Partial Lending, Shorting fee