SENSITIVITY ANALYSIS OF ???BLACK-SCHOLES??? OPTION INDEX IN INDONESIA
SENSITIVITY ANALYSIS OF ???BLACK-SCHOLES??? OPTION INDEX IN INDONESIA
Author : IRNI YUNITA Published on : International Journal of Organizational Innovation()
Abstract
International Journal of Organizational Innovation The purpose of this research is to find the value of call and put option of LQ45 Index in Indonesia Stock Exchange with Black Scholes Model and to analyzed the sensitivity of index???s price with Delta, gamma, Vega, theta, and Rho. This research,using historical volatility to find the volatility. The result shows that the volatility of the index LQ45 is 32%. There are 3 condition to find the price of call and put option. The price of call option and put option when SX is 90.89 and 76.91. The result of sensitivity analysis when S>X is : deltacall (0.68), Delta Put(-0.32), Gamma(0.0002011), vega (311.83), theta call(-0.24), Theta Put(-0.24), Rho call(192.53), and Rho Put(-105.67).
