PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA

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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Bibliographic Details
Main Authors:	Tendi Haruman, Riko Hendrawan
Format:	Article
Language:	English
Published:	Universitas Merdeka Malang 2017-03-01
Series:	Jurnal Keuangan dan Perbankan
Subjects:	ARIMA, barrier option, derivative, GARCH , stock option contact.
Online Access:	http://jurnal.unmer.ac.id/index.php/jkdp/article/view/931

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