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

See all articles by Rowland Bismark Pasaribu

Rowland Bismark Pasaribu

Gunadarma University; ABFI Institute Perbanas

Date Written: December 15, 2009

Abstract

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.

Note: Downloadable document is in Indonesian

Keywords: Option Pricing, Black-Scholes Model Stochastic Volatility, GARCH model

Suggested Citation

Pasaribu, Rowland Bismark, Estimasi Harga Opsi Saham Di Bursa Efek Indonesia: Studi Kasus Saham LQ-45 (December 15, 2009). Jurnal Akuntansi dan Manajemen, Vol. 20, No. 3, pp. 195-218, December 2009. Available at SSRN: https://ssrn.com/abstract=1837423

Rowland Bismark Pasaribu (Contact Author)

Gunadarma University ( email )

Margonda Raya 100
Pondokcina, Depok
Jakarta, West Java 62-16424
Indonesia

ABFI Institute Perbanas ( email )

Perbanas Street
Karet Kuningan, Setiabudi
Jakarta Selatan, DKI Jakarta 12940
Indonesia

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