Path: Top Journal Jurnal_Keuangan_dan_Perbankan 2010

Perbandingan model opsi black-scholes dan model opsi darth di bursa efek Indonesia

Jurnal Keuangan dan Perbankan, Vol. 14, No. 1 Januari 2010
Journal from JIPTUNMERPP / 2011-04-26 00:07:14
Oleh : Riko Hendrawan, Diploma 3 of Finance and Banking Merdeka University Malang (jurkkubank@yahoo.com)
Dibuat : 2010-01-01, dengan 0 file

Keyword : Black-Scholes Option Pricing Model, derivative, GARCH Option Model, stock option contract.

The purpose of this research was to compare the accuracy of black-scholes option model and GARH option models for stock option utilizing data from Astra, BCA, Indofood and Telkom at the Indonesian stock exchange. The intraday stock return of Astra, Indofood and Telkom exhibited an overwhelming presence of volatility cluster, suggesting that GARCH model had an effect which best corresponded with the actual price. The best model wasconstructed using ARIMA model and the best lag in GARCH model was extracted. The finding from this research showed that by comparing the average percentage mean squared errors of the GARCH Optiojn Model and Black-Scholes Option Model, the former was found more accurate than the latter. GARCH Model relatively improved average percentage mean squared errors of Black-Scholes Model; one moth option showed a twenty eight point ten percent and three ,month option showed twenty percent.

Deskripsi Alternatif :

The purpose of this research was to compare the accuracy of black-scholes option model and GARH option models for stock option utilizing data from Astra, BCA, Indofood and Telkom at the Indonesian stock exchange. The intraday stock return of Astra, Indofood and Telkom exhibited an overwhelming presence of volatility cluster, suggesting that GARCH model had an effect which best corresponded with the actual price. The best model wasconstructed using ARIMA model and the best lag in GARCH model was extracted. The finding from this research showed that by comparing the average percentage mean squared errors of the GARCH Optiojn Model and Black-Scholes Option Model, the former was found more accurate than the latter. GARCH Model relatively improved average percentage mean squared errors of Black-Scholes Model; one moth option showed a twenty eight point ten percent and three ,month option showed twenty percent.

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PropertiNilai Properti
ID PublisherJIPTUNMERPP
OrganisasiDiploma 3 of Finance and Banking Merdeka University Malang
Nama KontakDra. Wiwik Supriyanti, SS
AlamatJl. Terusan Halimun 11 B
KotaMalang
DaerahJawa Timur
NegaraIndonesia
Telepon0341-563504
Fax0341-563504
E-mail Administratorperpus@unmer.ac.id
E-mail CKOwsupriyanti@yahoo.com

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  • Editor: Wiwik Supriyanti, Dra. SS.