MENENTUKAN OPSI BELI BARRIER DOWN AND OUT TIPE EROPA DENGAN VOLATILITAS MODEL GARCH (Studi Kasus Saham Melco Crown Entertainment Limited)
A derivative product is a financial contract which derives its value from the performance of another entity such as an asset, bond, or interest rate. One of the most popular derivative is European down and out barrier call option. It is an option with barrier level at under price of asset and opt...
محفوظ في:
| المؤلفون الرئيسيون: | , |
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| التنسيق: | Theses and Dissertations NonPeerReviewed |
| منشور في: |
[Yogyakarta] : Universitas Gadjah Mada
2014
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://repository.ugm.ac.id/131598/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=72096 |
| الوسوم: |
إضافة وسم
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| الملخص: | A derivative product is a financial contract which derives its value from
the performance of another entity such as an asset, bond, or interest rate. One of
the most popular derivative is European down and out barrier call option. It is an
option with barrier level at under price of asset and option is extinguished on the
price of the underlying asset breaching a barrier. This option is used to take
advantage of underlying asset that always on the top. Pricing down and out
barrier option can be determined with Black-Scholes formula. All parameters in
the Black-Scholes formula, exercise price (K), time to maturity (T), price of asset
at t=0 (�0) , barrier value (B), risk free interest rate (r) can be known, except a
volatility (�).
This research is tell about how to estimate volatility with GARCH model
to pricing European down and out barrier call option. Where GARCH model is a
simple model and its not only dependent to before residual data, but also
dependent to before volatility. Beside that GARCH model can be overcome
volatility clustering in return data |
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