PERBANDINGAN MODEL OPSI BLACKSCHOLES DAN MODEL OPSI GARCH DI BURSA EFEK INDONESIA

PERBANDINGAN MODEL OPSI BLACKSCHOLES DAN MODEL OPSI GARCH DI BURSA EFEK INDONESIA

The purpose of this research was to compare the accuracy of Black-Scholes Opt ionModel and GARCH opt ion models for Stock opt ion ut ilizing data f rom Ast ra, BCA, Indofoodand Telkom at the Indonesian Stock Exchange. The intraday stock return of Astra, BCA, Indofoodand Telkom exhibited an overwhelm...

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Bibliographic Details
Main Author: Riko Hendrawan
Format: Article
Language:English
Published: Universitas Merdeka Malang 2017-03-01
Series:Jurnal Keuangan dan Perbankan
Subjects:
Black-Scholes Opt ion Pricing Model, derivat ive, GARCH Opt ion Model, stock opt ion contract
Online Access:http://jurnal.unmer.ac.id/index.php/jkdp/article/view/946

Internet

http://jurnal.unmer.ac.id/index.php/jkdp/article/view/946

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