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This Author published in this journals
All Journal ETIKONOMI Gadjah Mada International Journal of Business JIMFE (Jurnal Ilmiah Manajemen Fakultas Ekonomi) IKRA-ITH ABDIMAS Jurnal Manajemen JRAP (Jurnal Riset Akuntansi dan Perpajakan)
Roy Sembel
IPMI International Business School
Computer Science & IT Economics, Econometrics & Finance

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Journal : ETIKONOMI

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The Value at Risk of Selling Option on Crude Oil West Texas Intermediate Abitur Asianto; Hermanto Siregar; Roy Sembel; Tubagus Nur Ahmad Maulana
ETIKONOMI Vol 18, No 1 (2019)
Publisher : Faculty of Economic and Business

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (423.147 KB) | DOI: 10.15408/etk.v18i1.7319

Abstract

The Value at Risk (VaR) of selling the option on crude oil WTI has not widely known, whereas this trade is the most significant transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on crude oil WTI investment. The monthly option premium return data ranging from April 1984 to May 2017 was analyzed by the ARCH-GARCH and VaR method to get the risk of FOTM and ITM strike position. Empirical results indicate that the risk of the FOTM strike was much lower than the ITM strike positions. It meant that selecting the FOTM strike position of the selling option on crude oil WTI investment could be considered by stakeholders because its risk was much lower than the ITM strike position.JEL Classification: C32, G19, G32
Co-Authors Abitur Asianto Adler Haymans Manurung Adler Haymans Manurung Ahmad Hidayat Sutawidjaya Ari Purwanti Dharma Satriadi Ferli, Ossi Hermanto Siregar Intan Apriadi Irvan Novikri Melinda Malau Muhammad Firdaus Perdana Wahyu Santosa Rut Monica Desrianty Se Tin Tubagus Nur Ahmad Maulana Vera Mita Nia Yosya Sri Rotua Hutahaean Yvonne Augustine Sudibyo