Aplikasi model black-scholes dalam penentuan harga opsi eropa saham bbni menggunakan matlab
Keywords:
Option, Stock, Bank Negara Indonesia, Black-Scholes Model, MATLABAbstract
An option is a financial agreement that provides its holder with the right to carry out a purchase or sale of an underlying asset at an agreed price and period. This research examines the pricing of European options on PT Bank Negara Indonesia (BBNI) shares by applying the Black-Scholes Model. The Black-Scholes Model, introduced by Fisher Black and Myron Scholes in 1973, is an analytical approach commonly used to value European options. The model is based on several assumptions, including the absence of dividend payments, no transaction costs, a constant risk-free interest rate, and random stock price movements. In the calculation process, the parameters and are determined and then applied to the cumulative normal distribution function to obtain the values of European call and put options. The data used in this study consist of historical BBNI stock prices from August 1, 2025, to August 31, 2025. The computation was conducted using MATLAB software to estimate option prices based on the Black-Scholes Model. The results indicate that the Black-Scholes Model can be applied to estimate European option prices on BBNI shares. Therefore, the use of the Black-Scholes Model supported by MATLAB provides an effective and efficient approach for estimating BBNI stock option prices.
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