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

See all articles by Rowland Bismark Pasaribu

Rowland Bismark Pasaribu

NAMOURA Research Institute; Gunadarma University

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

Pasaribu, Rowland Bismark, Stock Options Price Estimation In Indonesia Stock Exchange: Case Studies of LQ-45 (December 1, 2009). Journal of Accounting and Management Vol. 20, No. 3, December 2009 , Available at SSRN: https://ssrn.com/abstract=1868084

Rowland Bismark Pasaribu (Contact Author)

NAMOURA Research Institute ( email )

Jl. Komando III/2 No.37
Setiabudi
South Jakarta, DKI Jakarta 12920
Indonesia

Gunadarma University ( email )

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

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