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Abstract
Nobel Ekonomi 1997 diberikan kepada Myron Scholes dan Robert Merton. Myron Scholes bersama Fisher Black memberi landasan yang sangat penting dalam teori sekuritas derivatif dengan menemukan model penilaian opsi Black-Scholes Option Pricing Model (OPM). Robert Merton menyempurnakan model tersebut dengan melonggarkan beberapa asumsi yang kurang realistis.
Menurut Black-Scholes OPM, nilai suatu opsi merupakan fungsi dari harga sekarang dari Underlying assetnya, exercise price, jatuh tempo opsi, tingkat suku bunga bebas risiko, dan varian return Underlying assetnya. Beberapa penulis sudah mengembangkan Black-Scholes OPM ini dan beberapa penulis juga telah menguji apakan model ini memang dapat digunakan untuk menilai opsi dengan akurat.
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