Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021
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DOI: https://doi.org/10.35609/jfbr.2023.7.4(1)
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More about this item
Keywords
Option; Black Scholes; GARCH; AMSE; Long Straddle;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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