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3. Harga saham sebuah Perusahaan saat ini Rp10.000 per lembar. Dalam enam bulan ke depan harga saham diperkirakan naik 10% atau turun 10%. Suku bunga

3. Harga saham sebuah Perusahaan saat ini Rp10.000 per lembar. Dalam enam bulan ke depan harga saham diperkirakan naik 10% atau turun 10%. Suku bunga bebas risiko 4% per tahun secara continuous compounding. a. Gunakan metode binomial tree dua step untuk menilai harga option call European dengan harga strike Rp12.000 dan jangka waktu kontrak enam bulan. b. Gunakan metode binomial tree dua step untuk menilai harga option put European dengan harga strike Rp12.000 dan jangka waktu kontrak enam bulan. c. Buktikan apakah harga kedua option di (a) dan (b) tersebut memenuhi hubungan put-call parity.

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