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"Model Black-Scholes merupakan model pertama penentuan harga opsi. Terdapat asumsi-asumsi yang harus dipenuhi pada model Black-Scholes, salah satunya volatilitas yang konstan. Karena asumsi tersebut, maka nilai implied volatility berdasarkan model Black-Scholes akan sama untuk setiap harga opsi. Implied volatilty dipengaruhi oleh harga strike dan waktu jatuh tempo. Namun, pada skripsi ini, implied volatility dibatasi pada pengaruh harga strike saja dan hubungan antara implied volatility dengan harga strike diinterpretasikan dalam kurva smile. Bentuk kurva smile berbeda-beda tergantung pada data observasi nilai opsi di pasar dan bentuknya seperti senyum (smile), skew, atau smirk. Dengan mempelajari kurva smile, seorang investor dapat mempertimbangkan risiko berinvestasi opsi. Pada skripsi ini dibahas bagaimana cara menentukan implied volatility Heston yang diinterpretasikan dalam kurva smile. Untuk dapat menentukan implied volatility Heston, diperlukan harga opsi Heston yang disubstitusi ke model harga opsi Black-Scholes. Untuk memperoleh harga opsi Heston, dilakukan penurunan harga opsi saham Heston berdasarkan model pergerakan harga saham Heston. Kemudian, dengan menghitung beberapa nilai implied volatility Heston yang diperoleh dengan menggunakan harga strike yang berbeda, dapat dibentuk kurva smile Heston. Hasil analisis kurva smile dari implied volatility Heston menggunakan data Anglo American Shares dengan selang harga strike dan tingkat bunga bebas risiko yang berbeda serta waktu jatuh tempo yang tetap adalah sebuah kurva smile yang berbentuk smirk.

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Black-Scholes model is the first option pricing model. There are some assumptions that need to be satisfied in Black-Scholes model, one of them is the constant volatility. Because of that assumption, implied volatility from Black-Scholes model will be same for all option price. Implied volatility depends on strike price and time to maturity. However, in this skripsi, implied volatility is bounded by strike price only and the relation between implied volatility and strike price is interpreted in smile curve. The shapes of smile curve is vary through observed option price effect and its shape looks like smile, skew, or smirk. With studying smile curve, an investor can consider the risk of investing an option.

This skripsi will study how to determine Heston implied volatility which is interpreted in smile curve. Heston option price which is substituted to Black-Schole model is needed to determine Heston implied volatility. For that purpose, deriving Heston option pricing model based on Heston stock price model is needed to be done. Then, by calculating some of implied volatilities that have different strike price, smile curve can be made. The analysis result of Anglo American Shares data with different in Strike Price interval and risk-free rates but same in maturity time (1 year) is a smirk shaped smile curve."

"Penelitian ini dilakukan untuk menganalisis faktor-faktor determinan Sovereign Credit Default Swap (CDS) Indonesia menggunakan variabel interest rate, stock returns, dan implied volatility dan menguji tingkat efektifitas hedging Sovereign CDS Indonesia terhadap Indonesia Government Bond. Proxy dari Sovereign CDS Indonesia menggunakan CDS Spreads Indonesia tenor 5 tahun, proxy untuk interest rate menggunakan effective yield Indonesia Government Bond Index, proxy untuk stock return menggunakan return IHSG dan proxy untuk implied volatility menggunakan Vstoxx Indeks. Berdasarkan hasil pengujian statistik dengan metode estimasi OLS, interest rated dan implied volatility memiliki pengaruh positif yang signifikan terhadap Sovereign CDS Indonesia, sedangkan stock returns dan Sovereign CDS Indonesia pada waktu t-1 memiliki pengaruh negatif yang signifikan terhadap Sovereign CDS Indonesia dan secara bersama-sama bahwa interest rate, stock return dan implied volatility berpengaruh terhadap Sovereign CDS Indonesia. Pengujian tingkat efektifitas hedging Sovereign CDS Indonesia menggunakan model estimasi OLS, ditemukan bahwa Sovereign CDS Indonesia memiliki tingkat efektivitas hedging terhadap Indonesia Government Bond sebesar 15,95% untuk posisi protection seller. Dapat disimpulkan bahwa Sovereign CDS Indonesia belum dapat dijadikan instrumen hedging Indonesia Government Bond, karena dalam konteks hedging, investor dapat menikmati proteksi atas risiko kredit yang dimiliki jika investor mengambil posisi protection buyer.

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This reserach study analyze the determinants of the Indonesian Sovereign Credit Default Swap (CDS) using variable interest rates, stock returns, and implied volatility and measurement hedging effectiveness Indonesian Sovereign CDS. As a proxy, for Indonesian Sovereign CDS use Indonesian CDS Spreads 5-year maturity, interest rates use effective yield Indonesian Government Bond Index, for stock returns use JCI returns and for implied volatility use Vstoxx Index. Results of statistical tests using the OLS estimation method, interest rated and implied volatility have a significant positive influence to Indonesian Sovereign CDS, while stock returns and Indonesian Sovereign CDS at time t-1 have a significant negative influence on Indonesian Sovereign CDS and interest rates, stock returns and implied volatility have a significant infuence to Indonesian Sovereign CDS. Result hedging effectiveness measurement Indonesian Sovereign CDS, Indonesian Sovereign CDS has a hedging effectiveness 15.95% of Indonesian Government Bond for protection seller. The conclusion, Indonesian Sovereign CDS cannot be used as an instrument hedging of Indonesian Government Bond, because in the context of hedging, investors get the benefits of credit risk protection, if the investor is a protection buyer."

"Skripsi ini menganalisis interest rate, stock returns, dan implied volatility terhadap Credit Default Swap (CDS) di Indonesia. Penelitian ini bertujuan untuk mengetahui pengaruh interest rate, stock returns, dan implied volatility sebagai determinan terhadap Credit Default Swap (CDS) di Indonesia. Sebagai proxy untuk interest rate menggunakan yield SUN dengan tenor 10 tahun, stock returns menggunakan return IHSG dan implied volatility menggunakan vstoxx index.Penelitian ini adalah penelitian kuantitatif dengan desain eksplanatif dan menggunakan program statistik SPSS versi 17. Pengumpulan data sebagian besar dilakukan dengan mengambil data dari Bank Indonesia.Hasil penelitian ini membuktikan bahwa terdapat pengaruh signifikan dari interest rate, stock returns, dan implied volatility terhadap CDS spreads di Indonesia.

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This research analyze interest rate, stock returns, and implied volatility to credit default swap (CDS) in Indonesia. The aim of this research, is to get the conclusion about the influence of interest rate, stock returns, and implied volatility as the determinants to CDS in Indonesia. As a proxy, for interest rate use government bond (SUN) yields with maturities ten years, stock returns use IHSG returns, and implied volatility use vstoxx index.

This research was quantitative with design explanative and using software SPSS version 17. Data were collected from Bank Indonesia.

The result of this research proved that there was significant influence of interest rate, stock returns, and implied volatility to credit default swap (CDS) spreads in Indonesia."

"Dual-currency deposit is one of the latest innovative banking prod-its offered by foreign banks in Indonesia. Its much higher interest to than prevailing deposit interest rate and convertibility to another the currency may attract many investors. As an investor, one floud fully understand the risk and return characteristics of this deposit before pouring his funds into this product. This paper i covers the financial instruments behind dual-currency deposit. IB writer questions and challenges the appropriateness of "dual-currency" name for this kind of hybrid instrument and offers a more ability table product name. The risk and return characteristics of this product together with the strategy of investing in this instrument are so discussed. Last, the paper demonstrates the use of Black-holes Model with the help of Derivagem® in calculating the implied ability and explains how investors should make decision based on at volatility"