Stock Options Price Estimation In Indonesia Stock Exchange: Case Studies of LQ-45
Journal of Accounting and Management Vol. 20, No. 3, December 2009
36 Pages Posted: 20 Jun 2011 Last revised: 21 Nov 2017
Date Written: December 1, 2009
Abstract
The main idea of this paper is to clarify the influence of historical volatility to its current volatility of stock return and estimate European call option pricing using Black-Scholes Model. Three method was used to knowing the influence: HisVol, GARCH (1.1) and CGARCH. Empirically the three method look provide similar result to prove the influence. Moreover, call-option pricing estimated result refer to its delta-hedging and vega indicates a very interesting prospect and profitable investment tool for Indonesian Stock Exchange.
Keywords: option pricing, Black Scholes Model, stochastic volatility, GARCH model
JEL Classification: G11, G12
Suggested Citation: Suggested Citation