APLIKASI GARCH UNTUK PENENTUAN PREMI HARGA KONTRAK OPSI SAHAM DI BURSA EFEK INDONESIA  

Oleh:

Hendrawan, Riko

Jenis: Article from Journal - ilmiah nasional - terakreditasi DIKTI
Dalam koleksi: Jurnal Keuangan dan Perbankan: Journal of Finance dan Banking vol. 11 no. 2 (Dec. 2009), page 150-163.
Topik: ARIMA; derivative; option; GARCH option model

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ12.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The purpose of this papers is to find out how accurate Generalized Auto Regressive Conditional Heteroscedasticity (GARCH) Option Model for pricing stock option contract on Astra International , BCA, Indofood and Telkom at The Indonesia Stock Exchange. For 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 findings of this research are one month option average percentage means squared error of GARCH Option Model is five point nine percent, two month option is seven point seventy nine and three month option is five point sixty three percent.

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