PENENTUAN NILAI VALUE at RISK PADA SAHAM IHSG MENGGUNAKAN MODEL GEOMETRIC BROWNIAN MOTION DENGAN LOMPATAN
<p><em>The aim of this research was to measure the risk of the IHSG stock data using the Value at Risk (VaR). IHSG stock index data typically indicates a jump. However, Geometric Brownian Motion (GBM) model can not catch any of the jumps. To view the jumps, it is necessary that the model...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2015-06-01
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| Series: | E-Jurnal Matematika |
| Subjects: | |
| Online Access: | http://ojs.unud.ac.id/index.php/mtk/article/view/13550 |