ASISTENSI IPM

CHAPTER 16 – OPTION VALUATION

TIM ASISTEN DOSEN

PROBLEM 1 – UAS 2015

Perusahaan Saudara sedang mempertimbangkan untuk membeli European call option saham ABCD,
sebuah perusahaan yang tidak membagika dividen, dengan strike price $75 dan untuk jangka waktu
satu tahun. Pada saat ini, saham ABCD diperdagangkan dengan harga $78 per lembar. Saudara
memperkirakan bahwa dalam waktu satu tahun dari sekarang, saham ABCD akan bernilai $93 atau
$65 per lembar, tergantung kondisi ekonomi makro. Diasumsikan Saudara bisa meminjam dan
meminjamkan dengan tingkat bunga bebas risiko sebesar 2,5% per tahun. Berdasarkan informasi di
atas, berapa harga call option itu sekarang?

PROBLEM 2 – UAS 2013

Diketahui

Harga saham Rp110

Harga call option (1 tahun, exercise price = Rp105) Rp14
Harga put option (1 tahun, exercise price = Rp105) Rp5
Tingkat suku bunga bebas risiko 5% per tahun

A. Berdasarkan konsep put-call parity, apakah ada peluang arbitrage dari situasi di atas? Jika ada,
jelaskan mengapa demikian!
B. Bagaimana posisi arbitrage atas situasi di atas? Dan buktikan bahwa dengan posisi tersebut, Anda
dapat melaksanakan arbitrage!

PROBLEM 3 – BLACK-SCHOLES OPTION VALUATION

A. Use the Black-Scholes formula to find the value of a European-style call option on the following
stock:
Time to expiration = 6 months
Standard deviation = 50% per year
Exercise price = $50
Current stock price = $45
Continuously risk-free interest rate = 3%
Dividend = 0
B. Find the Black-Scholes value of a European-style put option on the stock in A with the same
exercise price and expiration as the call option.
C. Verify that the put-call parity relationship holds.
PROBLEM 4 – HOMEWORK

A. (Mandatory) ABCD’s stock price is £110 and in each 3-month period will either increase by 25%
or fall by 20%. A 6-month European call on ABCD stock has an exercise price of £90. The interest
rate is 3% every 3 months. Using binomial valuation model, what is the value of the European call
option on ABCD?
B. (Mandatory) Using binomial valuation model, what is the value of a 6-month European put option
on ABCD with an exercise price of £90?
C. (Mandatory) Verify that put-call parity holds. Use discrete compounding, instead of continous
compounding.
D. (Optional) What is the value of a 6-month American put on ABCD stock with an exercise price of
£110? Would investor ever want to exercise this American put early?
E. (Optional) Now suppose that the stock ABCD pays a dividend of £12.50 every three months. What
is the value of a 6-month American call on ABCD with an exercise price of £90? Would you ever
want to exercise this American call early?