Ditemukan 2 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
Abitur Asianto
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The Value at Risk (VaR) of selling the option on crude oil WTI has not widely known, whereas this trade is the most significant transactions in the world. This study aimed to analyze the Value at Risk (VaR) of the far out of the money (FOTM) and the in the money (ITM) strike position of selling option on crude oil WTI investment. The monthly option premium return data ranging from April 1984 to May 2017 ...
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Jakarta: Faculty of Economics and Business State Islamic University (UIN) Syarif Hidayatullah, 2019
330 JETIK 18: 1 (2019)
Artikel Jurnal Universitas Indonesia Library
