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All Journal Jurnal Siasat Bisnis Jurnal Manajemen Teknologi Business and Management Review Jurnal Keuangan dan Perbankan Al-Iqtishad : Jurnal Ilmu Ekonomi Syariah (Journal of Islamic Economics) Jurnal Bisnis dan Manajemen Jurnal Manajemen Indonesia JAF- Journal of Accounting and Finance International Journal of Multidisciplinary: Applied Business and Education Research
Riko Hendrawan
Telkom University
Religion Civil Engineering, Building, Construction & Architecture Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Environmental Science Medicine & Pharmacology Social Sciences

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Journal : Jurnal Manajemen Teknologi

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PENGUJIAN MODEL OPSI GARCH UNTUK PENENTUAN HARGA PREMI OPSI SAHAM KETIKA BARRIER DIBERLAKUKAN DI BURSA EFEK INDONESIA Hendrawan, Riko; Haruman, Tendi
Jurnal Manajemen Teknologi Vol 8, No 2 2009
Publisher : SBM ITB

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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
Co-Authors Al-Farisi, Ade Salman Alex Soelistyo Anggadi Sasmito Ariful Ulya Dwipanca Adi Nugraha Enggar Pratiwi Farida Titik Kristanti Gayuh T Permana Gede Teguh Laksana Kristian WA Nugroho Muhammad Bayu Aji Sumantri Muhammad Chalil Gilbran Nurul Rachma Fadhyla Pebri Yanida Rifqi Dzakiri Salehudin Eka Saputra Alrasidi Setiawan, Rian Teika Trikartika Gustyana Tendi Haruman Tendi Haruman Wiwin Aminah