PENENTUAN NILAI VALUE at RISK PADA SAHAM IHSG MENGGUNAKAN MODEL GEOMETRIC BROWNIAN MOTION DENGAN LOMPATAN

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...

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Bibliographic Details
Main Authors: I GEDE ARYA DUTA PRATAMA, KOMANG DHARMAWAN, LUH PUTU IDA HARINI
Format: Article
Language:English
Published: Universitas Udayana 2015-06-01
Series:E-Jurnal Matematika
Subjects:
Geometric Brownian Motion with Jumps
Return
Value at Risk
Online Access:http://ojs.unud.ac.id/index.php/mtk/article/view/13550

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