PENERAPAN MODEL BLACK-SCHOLES DALAM PENGAMBILAN KEPUTUSAN INVESTASI WARRANT (Studi Pada Perusahaan yang Tercatat di Bursa Efek Indonesia)

Tri Puri Tosana Handayani

Abstract


The title of this paper is ?Aplication Black-Scholes Model to take Decision of Warrant Investement (Study of Companies included in Indonesia Stock Exchange)?. Is was survey research on financial sector companies.
The purpose of this research, to know naturally price of warrant chane in Indonesia stock Exchange for period Januari 2005 until December 2007 on overvalued and undervalued condition.
The hipotesis of this research is : the naturally price of warrant during research period on overvalued condition, when the calculation using Black-Scholes Model.
This was used Black-Scholes formula a tool of analize. This was 5 variable to calculate naturally price of warrant with Black-Scholes Model, there are, underlying asset, exercise price, maturity date, risk free rate and volatility.
From the research result show that the price of warrant on indeterminancy condition, there are overvalued and undervalued condition. However if that looked according to totality. It on overvalued vondition. So this hipotesis proven to be.
Based on that conclution, get the implication to warrant licencee when the price of warrant is undervalued, it is useful for the investor hold back this own share. This condition is ourtunity for candidates investor to buy warrant, when warrant price overvalued, warrant licencee to take sell position.

 

Keyword : warrant, Black-Scholes Model, overvalued, undervalued


Keywords


warrant, Black-Scholes Model; overvalued; undervalued