Ditemukan 1 dokumen yang sesuai dengan query
Agung Baruno
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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 call option is calculated based on BSOPM and then compared with its payoff at its maturity date. The results show that the average ...
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2004
JAKI-1-2-Des2004-1
Artikel Jurnal Universitas Indonesia Library
