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Black-Scholes Model of European Call Option Pricing in Constant Market Condition

Retno Tri Vulandari, rtv (2020) Black-Scholes Model of European Call Option Pricing in Constant Market Condition. International Journal of Computing Science and Applied Mathematics , 6 (2). pp. 46-49. ISSN 2477-5401

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    Investment is a saving activity with the aim of overcoming price increases or often called inflation. Investments can be in the form of gold, property, silver or stock investments. Stock investment is considered more profitable than just saving at a bank. Currency values are declining due to inflation. This results in a tendency to invest in shares. Stock investment carries a great risk. Therefore, in 2004 stock options began to trade. Stock options are contracts that give the holder the right to buy / sell shares at the agreed time, at a certain price. Stock option prices tend to be cheaper than stock prices. Therefore, determining the right price of stock options is needed. In this study, we will focus on the European type of buying options, the right to buy shares at an agreed price at maturity. The purpose of this study is the completion of the Black-Scholes model of European type option prices at a constant market, assuming stock movements meet the stochastic differential equation, fixed riskfree interest rates, companies distributing dividends, no taxes, no transaction costs, and free market arbitration. The results of this research are in the form of differential equations and the settlement of the Black-Scholes model of European type call option prices, and a case study used by stock option contracts with a maturity of January 4, 2010, PT Aqua Golden Mississippi Tbk.

    Item Type: Article
    Subjects: Q Science > QA Mathematics
    Divisions: Faculty of Informatics Engineering > Diploma in Informatics Engineering
    Depositing User: Retno Retno Tri Vulandari
    Date Deposited: 18 Jan 2021 20:17
    Last Modified: 18 Jan 2021 20:17

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