DAFTAR ISI

Halaman
COVER................................................................................................................ i
LEMBAR PENGESAHAN................................................................................. ii
LEMBAR PERSEMBAHAN............................................................................. iii
ABSTRAK............................................................................................................ iv
ABSTRACT......................................................................................................... v
KATA PENGANTAR.........................................................................................
vi
DAFTAR ISI ...... x
DAFTAR TABEL xii
DAFTAR GAMBAR... xiii

BAB I PENDAHULUAN
1.1 Latar Belakang Masalah................................................................ 1
1.2 Identifikasi Masalah...... 6
1.3 Maksud dan Tujuan Penelitian.. 6
1.4 Manfaat Penelitian......... 7
1.5 Batasan Masalah............ 7

BAB II TINJAUAN PUSTAKA

2.1 Pendahuluan.................................................................................... 8
2.2 Opsi.................................................................................................. 8
2.2.1 Jenis Opsi.............................................................................. 9
2.2.2 Komponen Opsi.................................................................... 9
2.3 Opsi Eropa....................................................................................... 11
2.4 Payoff dan Profit Opsi Eropa.......................................................... 12
2.5 Pergerakan Harga Saham................................................................ 17
2.5.1 Brownian Motion Baku................................................... 17
2.5.2 Brownian Motion dengan Drift....................................... 17
2.5.3Brownian Motion dengan Drift dan Skala Noise............. 18
2.5.4 Geometric Brownian Motion sebagai Model Saham...... 18

x
 2.5.5 Itos Lemma.............................................................. 19
2.6 Model Black-Scholes dan Karakteristiknya.............................. 20
2.8 Strategi Investasi.......................................................................
23

BAB III MENENTUKAN HARGA OPSI EROPA DENGAN MODEL

BLACK-SCHOLES DAN STRATEGI INVESTASI STRADDLE
3.1 Objek Penelitian 28
3.3 Model Black-Scholes............................... 28
3.4 Variabel yang Mempengaruhi Harga Opsi 28
3.5 Penetapan Tingkat Volatilitas Harga Saham. 30
3.6 Penentuan Harga Opsi Eropa Menggunakan Model Black-
Scholes... 31
3.7 Strategi Investasi Straddle Dalam Perdagangan Opsi.. 32
3.8 Sistematika Pemecahan Masalah... 34

BAB IV PENENTUAN HARGA OPSI EROPA

4.1 Pendahuluan............................................................................... 36
4.2 Menentukan Volatility................................................................ 36
4.3 Menentukan Strike Price........................................................... 37
4.4 Menghitung Harga Opsi Saham Menggunakan Model Black-
Scholes................................................................................... 37
4.5 Strategi Investasi Straddle......................................................... 40

BAB V KESIMPULAN DAN SARAN

5.1 Kesimpulan................................................................................ 44
5.2 Saran.......................................................................................... 44

DAFTAR PUSTAKA...................................................................................... 46
LAMPIRAN...................................................................................................... 48
RIWAYAT HIDUP..........................................................................................
59

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 DAFTAR TABEL

2.1 Beberapa Kondisi pada Opsi Eropa............................................................. 11

4.1 Perhitungan Call dan Put dengan Menggunakan Model Black-Scholes..... 38
4.2 Perhitungan Upper BEP dan Lower BEP, serta Kerugian Maksimum....... 40

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 DAFTAR GAMBAR

1.1 Indeks Harga Saham Gabungan Periode Januari 2008-Juli 2014............... 2

1.2 Uji Stasioneritas Harga Saham PT.Unilever, Tbk. ..................................... 5
1.3 Harga Saham PT.Unilever, Tbk,................................................................. 6
2.1 Gambar Payoff dan Profit Pemegang Kontrak Opsi Call...
14
2.2 Gambar Payoff dan Profit Pemegang Kontrak Opsi Put. 16
3.1 Profit pada Strategi Straddle....................................................................... 33
3.2 Sistematika Pemecahan Masalah.................................................................
35
4.1 Grafik Call dan Put dengan Beberapa Strike Price Call dan Put............... 38
4.2 Strategi Investasi Straddle Saat Membeli Saham PT. Unilever, Tbk.........
41
4.3 Strategi Investasi Straddle Saat Menjual Saham PT. Unilever, Tbk.........
42

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