Value-at-RiskImplied in Black-Scholes Model to Calculate Option Prices

ABSTRACT : Option is a contract of agreement that gives rights tothe option holder to buy or sell a reference asset (for this matter is stock) at a certain price and at a certain agreed time. To buy an option required a number of premiums to be paid or commonly referred to as prices reasonable option. The valuation of fair price that is often used is by the Black-Scholes model which consists of assuming no dividend distribution, interest rates and volatility are considered constant, there are no taxes and tarnsaction fees calculated, and so on. In this study Facebook stock option prices (FB) will be calculated using the usual Black-Scholes method and modified BlackScholes by replacing the volatility with the greatest risk value to be calculated by the Value-at-Risk method. From the results of the study of the FB stock price obtained that the option price obtained by the usual BlackScholes method are cheaper than Black-Scholes method using Value-at-Risk.
KEYWORDS:-Black-Scholes, Investmen, Option, Option Prices, Value-at-Risk