PENGANTAR MATEMATIKA KEUANGAN

MENGHITUNG MODEL BLACK SCHOLES

PT Bukit Asam Tbk (PTBA.JK)

Oleh

Nama : Krisya Monica Rahman (F1A017041)

Dosen Pengampu : Siska Yosmar, S.Si., M.Sc.

FAKULTAS MATEMATIKA DAN ILMU PENGETAHUAN ALAM

UNIVERSITAS BENGKULU

2019
 MENGHITUNG MODEL BLACK SCHOLES
-
PT Bukit Asam Tbk (PTBA.JK)
Jakarta - Jakarta Delayed Price. Currency in IDR
Date Close St/St-1 Rt Rata Rt (Rt-Rataan Rt)^2
5/9/2018 3430 1 0 -0.00037 1.39732E-07
5/10/2018 3430 1 0 1.39732E-07
5/11/2018 3450 1.005831 0.005814 3.82886E-05
5/14/2018 3560 1.031884 0.031386 0.001008463
5/15/2018 3530 0.991573 -0.00846 6.54914E-05
5/16/2018 3500 0.991501 -0.00853 6.66656E-05
5/17/2018 3550 1.014286 0.014185 0.000211837
5/18/2018 3690 1.039437 0.038679 0.001524813
5/21/2018 3830 1.03794 0.037238 0.001414388
5/22/2018 3790 0.989556 -0.0105 0.000102592
5/23/2018 3770 0.994723 -0.00529 2.42164E-05
5/24/2018 3760 0.997347 -0.00266 5.226E-06
5/25/2018 3750 0.99734 -0.00266 5.25839E-06
5/28/2018 3660 0.976 -0.02429 0.000572295
5/29/2018 3660 1 0 1.369E-07
5/30/2018 3780 1.032787 0.032261 0.001064773
5/31/2018 3800 1.005291 0.005277 3.18893E-05
6/1/2018 3800 1 0 1.369E-07
6/4/2018 3960 1.042105 0.041243 0.001731638
6/5/2018 4000 1.010101 0.01005 0.000108583
6/6/2018 3910 0.9775 -0.02276 0.000501177
6/7/2018 3940 1.007673 0.007643 6.42138E-05
6/8/2018 4070 1.032995 0.032462 0.001077958
6/11/2018 4070 1 0 1.369E-07
6/12/2018 4070 1 0 1.369E-07
6/13/2018 4070 1 0 1.369E-07
6/14/2018 4070 1 0 1.369E-07
6/15/2018 4070 1 0 1.369E-07
6/18/2018 4070 1 0 1.369E-07
6/19/2018 4070 1 0 1.369E-07
6/20/2018 4240 1.041769 0.04092 0.001704886
6/21/2018 4100 0.966981 -0.03358 0.001102658
6/22/2018 4150 1.012195 0.012121 0.000156034
6/25/2018 4130 0.995181 -0.00483 1.98999E-05
6/26/2018 4100 0.992736 -0.00729 4.78924E-05
6/27/2018 4040 0.985366 -0.01474 0.000206562
6/28/2018 3840 0.950495 -0.05077 0.002540394
6/29/2018 3970 1.033854 0.033294 0.001133247
7/2/2018 4000 1.007557 0.007528 6.23826E-05
7/3/2018 4000 1 0 1.369E-07
7/4/2018 4000 1 0 1.369E-07
7/5/2018 4000 1 0 1.369E-07
7/6/2018 3950 0.9875 -0.01258 0.000149054
7/9/2018 4000 1.012658 0.012579 0.000167671
7/10/2018 3990 0.9975 -0.0025 4.55024E-06
7/11/2018 4070 1.02005 0.019852 0.00040892
7/12/2018 4230 1.039312 0.038559 0.001515467
7/13/2018 4170 0.985816 -0.01429 0.000193654
7/16/2018 4240 1.016787 0.016647 0.000289586
7/17/2018 4380 1.033019 0.032485 0.001079481
7/18/2018 4330 0.988584 -0.01148 0.000123458
7/19/2018 4400 1.016166 0.016037 0.00026919
7/20/2018 4260 0.968182 -0.03234 0.001021786
7/23/2018 4310 1.011737 0.011669 0.000144931
7/24/2018 4240 0.983759 -0.01637 0.000256148
7/25/2018 4320 1.018868 0.018692 0.000363365
7/26/2018 4430 1.025463 0.025144 0.000650973
7/27/2018 4600 1.038375 0.037657 0.001446031
7/30/2018 4360 0.947826 -0.05358 0.002831756
7/31/2018 4480 1.027523 0.027151 0.000757405
8/1/2018 4540 1.013393 0.013304 0.000186977
8/2/2018 4490 0.988987 -0.01107 0.000114582
8/3/2018 4500 1.002227 0.002225 6.73244E-06
8/6/2018 4580 1.017778 0.017622 0.000323698
8/7/2018 4780 1.043668 0.042742 0.001858606
8/8/2018 4810 1.006276 0.006257 4.3911E-05
8/9/2018 4800 0.997921 -0.00208 2.92809E-06
8/10/2018 4890 1.01875 0.018576 0.000358966
8/13/2018 4850 0.99182 -0.00821 6.1522E-05
8/14/2018 4160 0.857732 -0.15346 0.02343766
8/15/2018 4030 0.96875 -0.03175 0.000984623
8/16/2018 4120 1.022333 0.022087 0.000504307
8/17/2018 4120 1 0 1.369E-07
8/20/2018 4260 1.033981 0.033416 0.001141494
8/21/2018 4120 0.967136 -0.03342 0.001092038
8/22/2018 4120 1 0 1.369E-07
 8/23/2018 4040 0.980583 -0.01961 0.000370119
8/24/2018 4070 1.007426 0.007398 6.03466E-05
8/27/2018 4060 0.997543 -0.00246 4.36821E-06
8/28/2018 4140 1.019704 0.019513 0.000395326
8/29/2018 4150 1.002415 0.002413 7.74256E-06
8/30/2018 4160 1.00241 0.002407 7.71029E-06
8/31/2018 4050 0.973558 -0.0268 0.000698449
9/3/2018 4100 1.012346 0.01227 0.000159772
9/4/2018 4000 0.97561 -0.02469 0.000591589
9/5/2018 3790 0.9475 -0.05393 0.002868496
9/6/2018 3810 1.005277 0.005263 3.17326E-05
9/7/2018 3770 0.989501 -0.01055 0.000103718
9/10/2018 3720 0.986737 -0.01335 0.000168515
9/11/2018 3720 1 0 1.369E-07
9/12/2018 3940 1.05914 0.057457 0.003343968
9/13/2018 3970 1.007614 0.007585 6.32879E-05
9/14/2018 3970 1 0 1.369E-07
9/17/2018 3930 0.989924 -0.01013 9.51926E-05
9/18/2018 4130 1.050891 0.049638 0.002500798
9/19/2018 4140 1.002421 0.002418 7.77507E-06
9/20/2018 4160 1.004831 0.004819 2.69287E-05
9/21/2018 4170 1.002404 0.002401 7.67823E-06
9/24/2018 4120 0.98801 -0.01206 0.000136723
9/25/2018 4130 1.002427 0.002424 7.8078E-06
9/26/2018 4110 0.995157 -0.00485 2.01097E-05
9/27/2018 4160 1.012165 0.012092 0.000155303
9/28/2018 4320 1.038462 0.03774 0.001452397
10/1/2018 4400 1.018519 0.018349 0.000350406
10/2/2018 4590 1.043182 0.042275 0.001818637
10/3/2018 4660 1.015251 0.015135 0.000240418
10/4/2018 4710 1.01073 0.010672 0.000121936
10/5/2018 4740 1.006369 0.006349 4.5148E-05
10/8/2018 4690 0.989451 -0.0106 0.000104746
10/9/2018 4500 0.959488 -0.04136 0.001679785
10/10/2018 4540 1.008889 0.00885 8.50013E-05
10/11/2018 4470 0.984581 -0.01554 0.000230087
10/12/2018 4560 1.020134 0.019934 0.000412261
10/15/2018 4440 0.973684 -0.02667 0.000691598
10/16/2018 4390 0.988739 -0.01133 0.000120015
10/17/2018 4500 1.025057 0.024748 0.000630922
10/18/2018 4490 0.997778 -0.00222 3.43989E-06
10/19/2018 4540 1.011136 0.011074 0.000130972
10/22/2018 4610 1.015419 0.015301 0.000245575
10/23/2018 4510 0.978308 -0.02193 0.000464864
10/24/2018 4300 0.953437 -0.04768 0.002238438
10/25/2018 4490 1.044186 0.043238 0.00190163
10/26/2018 4250 0.946548 -0.05493 0.002977199
10/29/2018 4190 0.985882 -0.01422 0.000191774
10/30/2018 4190 1 0 1.369E-07
10/31/2018 4250 1.01432 0.014218 0.000212817
11/1/2018 4230 0.995294 -0.00472 1.88963E-05
11/2/2018 4200 0.992908 -0.00712 4.55283E-05
11/5/2018 4390 1.045238 0.044245 0.001990472
11/6/2018 4450 1.013667 0.013575 0.000194459
11/7/2018 4470 1.004494 0.004484 2.35643E-05
11/8/2018 4470 1 0 1.369E-07
11/9/2018 4330 0.96868 -0.03182 0.000989157
11/12/2018 4420 1.020785 0.020572 0.000438574
11/13/2018 4650 1.052036 0.050728 0.002610957
11/14/2018 4880 1.049462 0.048278 0.002366628
11/15/2018 4700 0.963115 -0.03758 0.001384786
11/16/2018 4740 1.008511 0.008475 7.82274E-05
11/19/2018 4660 0.983122 -0.01702 0.000277279
11/20/2018 4660 1 0 1.369E-07
11/21/2018 4350 0.933476 -0.06884 0.004688087
11/22/2018 4220 0.970115 -0.03034 0.000898244
11/23/2018 4310 1.021327 0.021103 0.00046108
11/26/2018 3940 0.914153 -0.08976 0.007990068
11/27/2018 3870 0.982234 -0.01793 0.000308221
11/28/2018 3990 1.031008 0.030537 0.000955226
11/29/2018 4140 1.037594 0.036905 0.001389393
11/30/2018 4020 0.971014 -0.02941 0.000843547
12/3/2018 3960 0.985075 -0.01504 0.000215147
12/4/2018 4000 1.010101 0.01005 0.000108583
12/5/2018 3950 0.9875 -0.01258 0.000149054
12/6/2018 4080 1.032911 0.032381 0.001072655
12/7/2018 3990 0.977941 -0.02231 0.000481177
12/10/2018 4020 1.007519 0.007491 6.17902E-05
12/11/2018 4280 1.064677 0.062671 0.003974181
12/12/2018 4310 1.007009 0.006985 5.40945E-05
12/13/2018 4500 1.044084 0.043139 0.001893076
12/14/2018 4460 0.991111 -0.00893 7.32502E-05
12/17/2018 4390 0.984305 -0.01582 0.000238688
12/18/2018 4230 0.963554 -0.03713 0.001351094
12/19/2018 4220 0.997636 -0.00237 3.98747E-06
12/20/2018 4270 1.011848 0.011779 0.000147591
12/21/2018 4230 0.990632 -0.00941 8.17548E-05
12/24/2018 4230 1 0 1.369E-07
12/25/2018 4230 1 0 1.369E-07
12/26/2018 4290 1.014184 0.014085 0.00020894
12/27/2018 4290 1 0 1.369E-07
12/28/2018 4300 1.002331 0.002328 7.28077E-06
12/31/2018 4300 1 0 1.369E-07
1/1/2019 4300 1 0 1.369E-07
1/2/2019 4240 0.986047 -0.01405 0.00018719
1/3/2019 4160 0.981132 -0.01905 0.000348875
1/4/2019 4380 1.052885 0.051534 0.002693989
1/7/2019 4400 1.004566 0.004556 2.42637E-05
1/8/2019 4370 0.993182 -0.00684 4.18807E-05
1/9/2019 4330 0.990847 -0.0092 7.78889E-05
1/10/2019 4290 0.990762 -0.00928 7.94025E-05
1/11/2019 4330 1.009324 0.009281 9.31381E-05
1/14/2019 4390 1.013857 0.013762 0.000199705
1/15/2019 4380 0.997722 -0.00228 3.65002E-06
1/16/2019 4380 1 0 1.369E-07
1/17/2019 4450 1.015982 0.015855 0.000263263
1/18/2019 4470 1.004494 0.004484 2.35643E-05
1/21/2019 4470 1 0 1.369E-07
1/22/2019 4420 0.988814 -0.01125 0.000118346
1/23/2019 4390 0.993213 -0.00681 4.14796E-05
1/24/2019 4390 1 0 1.369E-07
1/25/2019 4370 0.995444 -0.00457 1.76082E-05
1/28/2019 4350 0.995423 -0.00459 1.77845E-05
1/29/2019 4380 1.006897 0.006873 5.24593E-05
1/30/2019 4300 0.981735 -0.01843 0.000326297
1/31/2019 4310 1.002326 0.002323 7.25161E-06
2/1/2019 4320 1.00232 0.002317 7.22265E-06
2/4/2019 4240 0.981481 -0.01869 0.000335701
2/5/2019 4240 1 0 1.369E-07
2/6/2019 4290 1.011792 0.011723 0.000146252
2/7/2019 4310 1.004662 0.004651 2.52122E-05
2/8/2019 4300 0.99768 -0.00232 3.81375E-06
2/11/2019 4260 0.990698 -0.00935 8.05661E-05
2/12/2019 4190 0.983568 -0.01657 0.000262389
2/13/2019 4120 0.983294 -0.01685 0.00027151
2/14/2019 4050 0.98301 -0.01714 0.000281108
2/15/2019 3980 0.982716 -0.01744 0.000291216
2/18/2019 3980 1 0 1.369E-07
2/19/2019 4200 1.055276 0.053803 0.002934682
2/20/2019 4160 0.990476 -0.00957 8.46299E-05
2/21/2019 4200 1.009615 0.009569 9.87927E-05
2/22/2019 4130 0.983333 -0.01681 0.000270179
2/25/2019 4130 1 0 1.369E-07
2/26/2019 4150 1.004843 0.004831 2.70496E-05
2/27/2019 4100 0.987952 -0.01212 0.000138094
2/28/2019 3980 0.970732 -0.02971 0.000860551
3/1/2019 4040 1.015075 0.014963 0.000235097
3/4/2019 4060 1.00495 0.004938 2.81779E-05
3/5/2019 3970 0.977833 -0.02242 0.000486065
3/6/2019 4040 1.017632 0.017479 0.000318572
3/7/2019 4040 1 0 1.369E-07
3/8/2019 4000 0.990099 -0.00995 9.17827E-05
3/11/2019 4020 1.005 0.004988 2.87033E-05
3/12/2019 3990 0.992537 -0.00749 5.0704E-05
3/13/2019 4020 1.007519 0.007491 6.17902E-05
3/14/2019 4020 1 0 1.369E-07
3/15/2019 4050 1.007463 0.007435 6.09177E-05
3/18/2019 4050 1 0 1.369E-07
3/19/2019 4020 0.992593 -0.00743 4.99139E-05
3/20/2019 4020 1 0 1.369E-07
3/21/2019 4040 1.004975 0.004963 2.84386E-05
3/22/2019 4080 1.009901 0.009852 0.000104495
3/25/2019 4140 1.014706 0.014599 0.000224065
3/26/2019 4240 1.024155 0.023867 0.000587456
3/27/2019 4120 0.971698 -0.02871 0.000803162
3/28/2019 4160 1.009709 0.009662 0.000100639
3/29/2019 4210 1.012019 0.011948 0.000151723
4/1/2019 4200 0.997625 -0.00238 4.03256E-06
4/2/2019 4170 0.992857 -0.00717 4.62195E-05
4/3/2019 4170 1 0 1.369E-07
4/4/2019 4040 0.968825 -0.03167 0.000979774
4/5/2019 4020 0.99505 -0.00496 2.10937E-05
4/8/2019 4040 1.004975 0.004963 2.84386E-05
4/9/2019 4070 1.007426 0.007398 6.03466E-05
 4/10/2019 4010 0.985258 -0.01485 0.000209721
4/11/2019 4010 1 0 1.369E-07
4/12/2019 4030 1.004988 0.004975 2.85705E-05
4/15/2019 3970 0.985112 -0.015 0.000214045
4/16/2019 3980 1.002519 0.002516 8.32741E-06
4/17/2019 3980 1 0 1.369E-07
4/18/2019 3950 0.992462 -0.00757 5.17859E-05
4/19/2019 3950 1 0 1.369E-07
4/22/2019 4050 1.025316 0.025001 0.000643703
4/23/2019 4050 1 0 1.369E-07
4/24/2019 4130 1.019753 0.019561 0.000397226
4/25/2019 4030 0.975787 -0.02451 0.000582789
4/26/2019 4020 0.997519 -0.00248 4.471E-06
4/29/2019 3950 0.982587 -0.01757 0.000295714
4/30/2019 3960 1.002532 0.002528 8.40099E-06
5/1/2019 3960 1 0 1.369E-07
5/2/2019 3940 0.994949 -0.00506 2.20271E-05
5/3/2019 3790 0.961929 -0.03881 0.001477995
5/6/2019 3790 1 0 1.369E-07
5/7/2019 3400 0.897098 -0.10859 0.011711696
5/8/2019 3190 0.938235 -0.06375 0.004017597
5/9/2019 3110 0.974922 -0.0254 0.00062641

Jadi diperoleh:

S^2 S
3.76923E-07 0.00061394 σ1(T : 1 Bulan) : 0.000177229
σ2( T : 3 Bulan) : 0.00030697
σ3( T : 6 Bulan) : 0.000434121

r : 0.06

So : 3110

X1 : 3000
X2 : 2800
X3 : 3200
T1 : 0.083333333 Tahun
T2 : 0.25 Tahun
T3 : 0.5 Tahun

d1(T1, X1) : 801.5847651

d2(T1, X1) : 801.584714

d1(T1, X2) : 2150.110562

d2(T1, X2) : 2150.11051

d1(T1, X3) : -459.876872

d2(T1, X3) : -459.8769232
d1(T2, X1) : 332.3479715
d2(T2, X1) : 332.347818

d1(T2, X2) : 781.8564935

d2(T2, X2) : 781.8563401

d1(T2, X3) : -88.13931765

d2(T2, X3) : -88.13947113

d1(T3, X1) : 215.0387411

d2(T3, X1) : 215.0384341

d1(T3, X2) : 439.7930405

d2(T3, X2) : 439.7927335

d1(T3, X3) : 4.795134892

d2(T3, X3) : 4.794827922
Sehingga diperoleh Model Black Scholes sebagai berikut:

C (T1, X1) : 124.9625624

C (T1, X2) : 323.9650583

C (T1, X3) : 0

C (T2, X1) : 154.6641812

C (T2, X2) : 351.6865691

C (T2, X3) : 0

C (T3, X1) : 198.6633994

C (T3, X2) : 392.7525061

C (T3, X3) : 4.574292795

 Uji Normalitas dengan SPSS:

Keterangan:

Skewness merupakan suatu besaran statistic yang menunjukan kemiringan data.

Skewness ini menunjukan datanya cenderung berada di tengah atau miring di satu titik. Statistic
ini dapat digunakan untuk melihat sebaran normal yaitu dengan rasio skewness. Data dikatakan
normal ketika nilai rasio skewness diperoleh pada rentan nilai -2 sampai 2. Karena rasio
skewness :

𝑠𝑘𝑒𝑤𝑛𝑒𝑠𝑠
𝑟𝑎𝑠𝑖𝑜 𝑠𝑘𝑒𝑤𝑛𝑒𝑠𝑠 =
𝑠𝑡𝑑. 𝑒𝑟𝑟𝑜𝑟
Maka :
−0,254
𝑟𝑎𝑠𝑖𝑜 𝑠𝑘𝑒𝑤𝑛𝑒𝑠𝑠 = = -1,69333
0.150

Karna, -2 < -1,69333 < 2 data berdistribusi Normal.