Business, Management and Accounting
4 years ago

Black-Scholes Model Determines Exact Value of European Options, Impacting Market.

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TEKNOSAINS MEDIA INFORMASI SAINS DAN TEKNOLOGI
PENENTUAN NILAI EKSAK DARI HARGA OPSI TIPE EROPA DENGAN MENGGUNAKAN MODEL BLACK-SCHOLES
Irwan Irwan

Paper Summary

The article analyzes the Black-Scholes model to determine the value of European options based on stock prices. By using the model, the fair price for a call option is 3.4940,indicatingabreak−evenpointforbuyersandsellers.Thefairpriceforaputoptionis3.4940, indicating a break-even point for buyers and sellers. The fair price for a put option is 3.4940,indicatingabreak−evenpointforbuyersandsellers.Thefairpriceforaputoptionis0.0329, showing it is out of the money and unlikely to be executed. The simulation results suggest that as the time to maturity increases, the option price also rises.