PENENTUAN HARGA OPSI JUAL AMERIKA DENGAN VOLATILITAS MODEL GARCH MENGGUNAKAN SIMULASI (STUDI KASUS SAHAM IBM INC.); AMERICAN PUT OPTION PRICING WITH GARCH MODEL VOLATILITY USING SIMULATION

Kusuma, Rahmaniar Dwinta, Sri Haryatmi

2015 | Skripsi | FMIPA UGM

Option is one form of investment in financial assets. Option is a contract that gives the holder the right, but in contrast to bonds, to buy or sell a certain number of shares in a particular company at a specified price within a specified period (expiration date). Until today, option pricing in general continues to develop over time. In general people using BSM models with constant volatility and returns the log-normal to get option price, but in fact this model has a poor tendency to financial data. General GARCH model has been widely used in financial data that experienced volatility clustering. Option price will be obtained by using the simulation method on GARCH models volatility, this price is similar to an option in market price.

Kata Kunci : GARCH Model; Simulation; American Option; Backward; Volatility