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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- Aparna Bhat & Kirti Arekar, 2016. "Empirical Performance of Black-Scholes and GARCH Option Pricing Models during Turbulent Times: The Indian Evidence," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(3), pages 123-136, March.
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- Sasikanta Tripathy & Abdul Rahman, 2013. "Forecasting Daily Stock Volatility Using GARCH Model: A Comparison Between BSE and SSE," The IUP Journal of Applied Finance, IUP Publications, vol. 19(4), pages 71-83, October.
- Deannes Isynuwardhana & Gisyari Nurul Istiqamah Surur, 2018. "Return Analysis on Contract Option Using Long Straddle Strategy and Short Straddle Strategy with Black Scholes," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 8(4), pages 16-20, October.
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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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