Pembahasan Ujian PAI: F10 – No. 08 – November 2025

• \(S_{0} = 41 ; K = \$40 ; \sigma = 0{,}30 ; r = 0{,}08 ; T = 1 ; \delta = 0\)
• Opsi beli: \(C = \$6{,}961\) dan \(\Delta_{C} = 0{,}6911\)
• Opsi jual: \(P = \$2{,}886\) dan \(\Delta_{P} = 0{,}3089\)
• \(A\) =call option elasticity
• \(B\) =put option elasticity

$$\text{Elasticity} = \frac{\Delta \times S_{0}}{\text{option price P or C}}$$

• Nilai \(A\):
  $$\begin{aligned}
  A &= \frac{\Delta_{C} \times S_{0}}{C} = \frac{0{,}6911 \times 41}{6{,}961} \\
  &= \frac{28{,}3351}{6{,}961} = 4{,}07055
  \end{aligned}$$
• Nilai \(B\) $$\begin{aligned}
  B &= \frac{\Delta_{P} \times S_{0}}{P} = \frac{-0{,}3089 \times 41}{2{,}886} \\
  &= \frac{-12{,}6649}{2{,}886} = -4{,}38839
  \end{aligned}$$

Diperoleh:

$$\begin{aligned}
A – B &= 4{,}07055 – (-4{,}38839) \\
&= 4{,}07055 + 4{,}38839 \\
&= 8{,}45894 \approx 8{,}46
\end{aligned}$$

Jadi, nilai \(A – B\) sebesar 3,44.