PENGUJIAN GARCH OPTION MODEL UNTUK BARRIER OPTION DI BURSA EFEK INDONESIA

Tendi Haruman, Riko Hendrawan

Abstract


The purpose of this research was to test the accuracy of GARCH Option Model forpricing stock option contracted on Astra International, BCA, Indofood and Telkom when barrierexisted at The Indonesia Stock Exchange. Utilizing intraday stock movement and stock optioncontract data, simulation was conducted using actual data. To test the accuracy of GARCH OptionModel, average percentage mean squared error was used to compare simulated premiumwith its payoff at its maturity date. The findings from this research were one month optionaverage percentage mean squared error of GARCH Option Model was three point fifty onepercent (3.51%), two month option was six point sixty one (6.61%) and three month optionwas seven point seventy nine percent (7.79%).

Keywords


ARIMA, barrier option, derivative, GARCH , stock option contact.

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DOI: https://doi.org/10.26905/jkdp.v13i2.931

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Jurnal Keuangan dan Perbankan (Journal of Finance and Banking)

Diploma Program of Banking and Finance, Faculty of Economics and Business, University of Merdeka Malang

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