Pengujian Model Opsi GARCH Untuk Penentuan Harga Premi Opsi Saham Ketika Barrier Diberlakukan di Bursa Efek Indonesia

Authors

  • Riko Hendrawan
  • Tendi Haruman

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

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Submitted

2011-12-24

Published

2002-06-01

How to Cite

Hendrawan, R., & Haruman, T. (2002). Pengujian Model Opsi GARCH Untuk Penentuan Harga Premi Opsi Saham Ketika Barrier Diberlakukan di Bursa Efek Indonesia. Jurnal Manajemen Teknologi, 8(2). Retrieved from https://journal.sbm.itb.ac.id/index.php/mantek/article/view/96

Issue

Vol 8, No 2 2009

Section

Articles

License

Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License. Copyright @2023. This is an open-access article distributed under the terms of the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License (http://creativecommons.org/licenses/by-nc-sa/4.0/) which permits unrestricted non-commercial used, distribution and reproduction in any medium.