Riko Hendrawan_abstract_1412010

PERBANDINGAN MODEL OPSI BLACK-SCHOLES DAN
MODEL OPSI GARCH DI BURSA EFEK INDONESIA

Riko Hendrawan
TELKOM Institute of Management
Jl. Gegerkalong Hilir No.47 Bandung, 40152

Korespondensi dengan Penulis:
Riko Hendrawan: Telp. +62 22 11 384-385, Fax. +62 22 200 11 387
E-mail: riko_hendrawan@yahoo.com

Abstract
The purpose of this research was to compare the accuracy of Black-Scholes Option Model and GARCH option models for Stock option utilizing data from Astra, BCA, Indofood and Telkom at the Indonesian Stock Exchange. The intraday stock return of Astra, BCA, Indofood and Telkom exhibited an overwhelming presence of volatility cluster, suggesting that GARCH model had an effect which best corresponded with the actual price. The best model was constructed using ARIMA model and the best lag in GARCH model was extracted. The finding from this research showed that by comparing the average percentage mean squared errors of the GARCH Option Model and the Black-Scholes Option Model, the former was found more accurate than the latter.  GARCH Model relatively improved average percentage mean squared errors of Black-Scholes Model; one month option showed a twenty eight point ten percent improvement, two month option showed  twenty three point thirty percent and three month option showed twenty percent.

Key words: Black-Scholes Option Pricing Model, derivative, GARCH Option Model, stock option contract

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