Estimasi Harga Opsi Saham Di Bursa Efek Indonesia: Studi Kasus Saham LQ-45
Jurnal Akuntansi dan Manajemen, Vol. 20, No. 3, pp. 195-218, December 2009
36 Pages Posted: 18 May 2011 Last revised: 22 Nov 2017
Date Written: December 15, 2009
The main idea of this paper is to clarify the influence of historical volatility in relation to its current volatility of stock return and estimate european call option pricing using Black-Scholes Model. Three methods were used to understanding the influence: HisVol, GARCH (1.1) and CGARCH. Empirically, the three methods provide similar results to prove the influence. Moreover, call-option pricing estimated results refer to its delta-hedging and vega, indicating a very interesting prospect and profitable investment tool for Indonesian Stock Echange.
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Keywords: Option Pricing, Black-Scholes Model Stochastic Volatility, GARCH model
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