Model black-scholes put-cakk parity harga opsi tipe eropa dengan pembagian deviden
Penulis Utama
:
Anita rahman
NIM / NIP
:
M0106004
×Put-call parity is developed by Stoll in 1969. It is defined as a arbitration
relationship between the price of a call option and put option. The relationship shows
that the value of a call option with a certain strike price and expiration date can be
deduced from the value of a put option with the same strike price and expiration date,
and vice versa. The Black-Scholes model is a valuation model of option pricing, it is
used by the financial world. The assumptions of this model are no dividend payment,
no transaction costs, the risk-free interest rate, and random pattern stock price
exchanged. However according to Sharpe, most of the traded stock options pay
dividend in fact. The purposes of this research are to determine the Black-Scholes
model of European put option pricing with dividend and to determine European put-
call parity option pricing with dividend.
The result shows that the Black-Scholes models of European put option
pricing with dividend can be constructed in constant market and continuous market. It
can be constructed the Black-Scholes models of European put-call parity in constant
market and continuous market.
Key words: Black-Scholes model, put-call parity, dividend.
×
Penulis Utama
:
Anita rahman
Penulis Tambahan
:
-
NIM / NIP
:
M0106004
Tahun
:
2010
Judul
:
Model black-scholes put-cakk parity harga opsi tipe eropa dengan pembagian deviden
