Dik : A B

Stock price (S) $ 40 $ 50

Exercise price (E) $ 45 $ 45
Interest rate {r} 10% 6%
year time of expiration (t) 0.5 0.25
Standar deviation () 0.45 0.235
approximately (e) 2.71828 2.71828

In(S/E) (r+0.5^2 )t ([t^(1/2) ]) d1 d2 N(d1) N(d2) S[N(d1 )] E/e^rt [N(d2 )] C E/e^rt

A -0.117783036 0.100625 0.318198052 -0.05392 -0.37212 0.478498 0.354902 19.139938 15.1916762244 $ 3.95 42.80533
B 0.1053605157 0.0184515625 0.1175 1.05372 0.93622 0.853994 0.82542 $ 43 36.5908992218 $ 6.11 44.33004

-0.117783036 0.100625 0.318198052 -0.05392 -0.37212 0.478498 0.354902 $ 19 15.1916762244 3.948262 42.80533
0.1053605157 0.0184515625 0.1175 1.05372 0.93622 0.853994 0.82542 $ 43 36.5908992218 $ 6 44.33004
 P
$ 6.75
$ 0.44

6.75
0.44
Soal:
Ibu kokia membeli call option PT Indofood dengan striking price Rp.8000.
Pada saat ini tanggal 23 Mei 2017, harga call option Rp.1500.
Pertanyaan:
Pada saat expriration date, apa yang sebaiknya dilakukan
jika harga pasar sahamnya Rp.7000, Rp.8000, Rp.9500, Rp.10.000, Rp.11.000
Hitung pay off (keuntungan/ kerugian) bila di exercise pada harga masing-masing.

Jawaban:
Stricking Price Rp.8000
Premi call Rp.1500 +
BEP Rp.9.500

Harga pasar saham

Rp 7.000 Tidak, out at the money (RUGI) Rp7000-Rp9500= (2500)
Rp 8.000 Tidak, out at the money (RUGI) Rp8000-Rp9500= (1500)
Rp 9.500 At the money (Impas)
Rp 10.000 in the money = profit = Rp 10000-Rp9500= 500
Rp 11.000 in the money = profit = Rp 11000-Rp9500= 1500
Rp.11.000