Abstract: The purpose of this
research is to test the accuracy of GARCH Option Model for pricing stock option
contract on Astra International, BCA, Indofood and Telkom when barrier is exist
at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock
option contract data, simulation is conducted using actual data. To test the
accuracy of GARCH Option Model, average percentage mean squared error is used
to compare simulated premium with its payoff at its maturity date. The finding
from this research are one month option average percentage means suared error
of GARCH Option Model is three point fifty one percent, two month option is six
point sixty one and three month option is seven point sevently nine percent.
Katakunci: ARIMA, Derivative,
Stock Option Contact, Barrier Option, GARCH Option Model, Indonesia Stock
Exchange
Penulis: Riko Hendrawan, Tendi
Haruman
Kode Jurnal: jpmanajemendd090008
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