APLIKASI FORMULA PENILAIAN OPSI BLACK-SCHOLES UNTUK ESTIMASI NILAI CALL OPSI INDEKS SAHAM LQ-45 DI BURSA EFEK JAKARTA

Autor:	Roy H.M Sembel, Agung Baruno
Rok vydání:	2004
Předmět:	Actuarial science Valuation of options Stock exchange Statistics Economics Call option Black–Scholes model Stock market index
Zdroj:	Jurnal Akuntansi dan Keuangan Indonesia. 1:1-13
ISSN:	2406-9701 1829-8494
DOI:	10.21002/jaki.2004.07
Popis:	Universitas Indonesia APPLICATION OF THE BLACK-SCHOLES OPTION PRICING FORMULA ON VALUATION OF LQ-45 STOCK INDEX OPTION. The objective of this research is to investigate the applicability of the Black- Scholes Option Pricing Model (BSOPM) on options on market index at the Jakarta Stock Exchange (JSX). A simulation is conducted using actual JSX LQ-45 index data between January 1997 and April 1999. Each month, a simulated premium of a one- month calf option is calculated based on BSOPM and men compared with its payoff at its maturity date. The results show that the average profit of the simulated long stock index call option is negative but not statistically significant. It means that the BSOPM, although not rejectable statistically, cannot be applied blindly on the valuation of JSX stock index options. Kata kunci: Opsi, formula Black-Scholes, indeks LQ-45.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::38d3f610dcaae9430a15f2b19f5768e4 https://doi.org/10.21002/jaki.2004.07 Zobrazit plný text záznamu