PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA
The purpose of this research was to test the accuracy of GARCH Option Model forpricing stock option contracted on Astra International, BCA, Indofood and Telkom when barrierexisted at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock optioncontract data, simulation was conduct...
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| Format: | Article |
| Language: | English |
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Universitas Merdeka Malang
2017-03-01
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| Series: | Jurnal Keuangan dan Perbankan |
| Subjects: | |
| Online Access: | http://jurnal.unmer.ac.id/index.php/jkdp/article/view/931 |
| _version_ | 1818671550138679296 |
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| author | Tendi Haruman Riko Hendrawan |
| author_facet | Tendi Haruman Riko Hendrawan |
| author_sort | Tendi Haruman |
| collection | DOAJ |
| description | The purpose of this research was to test the accuracy of GARCH Option Model forpricing stock option contracted on Astra International, BCA, Indofood and Telkom when barrierexisted at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock optioncontract data, simulation was conducted using actual data. To test the accuracy of GARCH OptionModel, average percentage mean squared error was used to compare simulated premiumwith its payoff at its maturity date. The findings from this research were one month optionaverage percentage mean squared error of GARCH Option Model was three point fifty onepercent (3.51%), two month option was six point sixty one (6.61%) and three month optionwas seven point seventy nine percent (7.79%). |
| first_indexed | 2024-12-17T07:25:47Z |
| format | Article |
| id | doaj.art-8be87521589c4c7287f29109e1cccd4e |
| institution | Directory Open Access Journal |
| issn | 1410-8089 2443-2687 |
| language | English |
| last_indexed | 2024-12-17T07:25:47Z |
| publishDate | 2017-03-01 |
| publisher | Universitas Merdeka Malang |
| record_format | Article |
| series | Jurnal Keuangan dan Perbankan |
| spelling | doaj.art-8be87521589c4c7287f29109e1cccd4e2022-12-21T21:58:38ZengUniversitas Merdeka MalangJurnal Keuangan dan Perbankan1410-80892443-26872017-03-01132228236648PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIATendi Haruman0Riko Hendrawan1Institut Manajemen TELKOM Jl. Gegerkalong Hilir No.47 Bandung, 40152Institut Manajemen TELKOM Jl. Gegerkalong Hilir No.47 Bandung, 40152The purpose of this research was to test the accuracy of GARCH Option Model forpricing stock option contracted on Astra International, BCA, Indofood and Telkom when barrierexisted at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock optioncontract data, simulation was conducted using actual data. To test the accuracy of GARCH OptionModel, average percentage mean squared error was used to compare simulated premiumwith its payoff at its maturity date. The findings from this research were one month optionaverage percentage mean squared error of GARCH Option Model was three point fifty onepercent (3.51%), two month option was six point sixty one (6.61%) and three month optionwas seven point seventy nine percent (7.79%).http://jurnal.unmer.ac.id/index.php/jkdp/article/view/931ARIMA, barrier option, derivative, GARCH , stock option contact. |
| spellingShingle | Tendi Haruman Riko Hendrawan PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA Jurnal Keuangan dan Perbankan ARIMA, barrier option, derivative, GARCH , stock option contact. |
| title | PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA |
| title_full | PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA |
| title_fullStr | PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA |
| title_full_unstemmed | PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA |
| title_short | PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA |
| title_sort | pengujian garch option model untuk barrier option di bursa efek indonesia |
| topic | ARIMA, barrier option, derivative, GARCH , stock option contact. |
| url | http://jurnal.unmer.ac.id/index.php/jkdp/article/view/931 |
| work_keys_str_mv | AT tendiharuman pengujiangarchoptionmodeluntukbarrieroptiondibursaefekindonesia AT rikohendrawan pengujiangarchoptionmodeluntukbarrieroptiondibursaefekindonesia |