Testing Black Scholes and Garch Option Models on Pharmaceutical State-Owned Enterprises Holding

14th GCBSS Proceeding 2022 Pub Date : 2022-12-28 DOI:10.35609/gcbssproceeding.2022.2(39)

R. Hendrawan, Tri Suci Indah Sari

{"title":"Testing Black Scholes and Garch Option Models on Pharmaceutical State-Owned Enterprises Holding","authors":"R. Hendrawan, Tri Suci Indah Sari","doi":"10.35609/gcbssproceeding.2022.2(39)","DOIUrl":null,"url":null,"abstract":"This study aims at testing the implementation of option contracts using Black Scholes and GARCH Option Models on the pharmaceutical State-Owned Enterprises (BUMN, Badan Usaha Milik Negara) holding using Long Straddle Strategy. The data were the closing stock price from 2002 to 2021 of two companies holding: INAF and KAEF. Results of this study were calculated by comparing percentage of average mean squared error of the Black Scholes and GARCH model with the implementation of Long Straddle Strategy, in which the smaller the percentage the better the model. The result showed that for one-month due date option contract, Black Scholes model was better than GARCH with error value on call option of 6.28% and put option of 4.279% for INAF and error value on call option of 5.24% and put option of 3.29%. With three-month due date option contract, Black Scholes model continued to show better results for call option with error value of 20.38% for INAF and 14.59% for KAEF. Conversely, GARCH model was better on the put option with 14.69% error value for INAF and 9.50% for KAEF.\n\n\nKeywords: Black Scholes, GARCH, option contract, Long Straddle","PeriodicalId":113523,"journal":{"name":"14th GCBSS Proceeding 2022","volume":"43 2","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-12-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"14th GCBSS Proceeding 2022","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.35609/gcbssproceeding.2022.2(39)","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 0

Abstract

This study aims at testing the implementation of option contracts using Black Scholes and GARCH Option Models on the pharmaceutical State-Owned Enterprises (BUMN, Badan Usaha Milik Negara) holding using Long Straddle Strategy. The data were the closing stock price from 2002 to 2021 of two companies holding: INAF and KAEF. Results of this study were calculated by comparing percentage of average mean squared error of the Black Scholes and GARCH model with the implementation of Long Straddle Strategy, in which the smaller the percentage the better the model. The result showed that for one-month due date option contract, Black Scholes model was better than GARCH with error value on call option of 6.28% and put option of 4.279% for INAF and error value on call option of 5.24% and put option of 3.29%. With three-month due date option contract, Black Scholes model continued to show better results for call option with error value of 20.38% for INAF and 14.59% for KAEF. Conversely, GARCH model was better on the put option with 14.69% error value for INAF and 9.50% for KAEF. Keywords: Black Scholes, GARCH, option contract, Long Straddle

查看原文本刊更多论文

国有医药企业控股的Black Scholes和Garch期权模型检验

本研究旨在利用Black Scholes期权模型和GARCH期权模型检验期权合约在国有医药企业(BUMN, Badan Usaha Milik Negara)持有多跨策略下的执行情况。该数据是2002年至2021年持有的两家公司INAF和KAEF的收盘价。本研究的结果是通过比较Black Scholes和GARCH模型在实施多跨策略时的平均均方误差百分比来计算的，其中百分比越小模型越好。结果表明，对于一个月到期日期权合约，Black Scholes模型优于GARCH模型，INAF的看涨期权和看跌期权的误差值分别为6.28%和4.279%，看涨期权和看跌期权的误差值分别为5.24%和3.29%。对于三个月到期日期权合约，Black Scholes模型对看涨期权继续显示较好的结果，INAF的误差值为20.38%，KAEF的误差值为14.59%。相反，GARCH模型在看跌期权上表现较好，INAF和KAEF的误差值分别为14.69%和9.50%。关键词:Black Scholes; GARCH;期权合约

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

14th GCBSS Proceeding 2022

自引率

0.00%

发文量