ESTIMASI HARGA OPSI SAHAM DI BURSA EFEK INDONESIA (BEI): Studi Kasus Saham LQ-45
ABSTRACT: The main idea of
this paper is to clarify the influence of historical volatility to its current volatility of stock return and
estimate european call option pricing using Black-Scholes Model. Three method
was used to know-ing the influence: HisVol, GARCH (1.1) and CGARCH. Empirically
the three method look provide similar re-sult to prove the influence. Moreover,
call-option pric-ing estimated result refer to its delta-hedging and vega indicates
a very interesting prospect and profitable investment tool for Indonesian Stock
Echange.
Keywords: option pricing,
Black Scholes Model stochastic volatility, GARCH model
Penulis: Rowland Bismark
Fernando Pasaribu
Kode Jurnal: jpmanajemendd090078
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