GATR Journal of Finance and Banking Review Vol. 7 (4) January - March 2023最新文献

{"title":"Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021","authors":"R. Hendrawan, M. D. A. Hasibuan","doi":"10.35609/jfbr.2023.7.4(1)","DOIUrl":"https://doi.org/10.35609/jfbr.2023.7.4(1)","url":null,"abstract":"Objective –This study aims to look at the use of contract options through Black Scholes and GARCH modeling on the Kompas100 Index with a long straddle strategy both in crisis and non-crisis.\u0000Methodology – The data used for the observation period are the closing price of the Kompas100 Index from 2008 to 2021. The testing lasts one month (from February 2008 to December 2021), and three months (from April 2008 to December 2021). To get the results, the average mean square errors (AMSE) of the two models were compared by implementing the long straddle strategy, meaning that the model is better if the percentage number is lower.\u0000Findings – Over a one-month period during the crisis, GARCH modeling performed better than Black Scholes modeling, with an error rate of 2.5539% for call options. Meanwhile, Black Scholes’s modeling was better on put options with an error rate of 1.9725%. In the 3-month period, GARCH modeling was better, with error rates for call and put options of 10.3882% and 7.4282%, respectively. In non-crisis years, GARCH modeling beat Black Scholes modeling during a one-month period with an error rate of 0.2689%, while Black Scholes modeling was better on put options with an error rate of 0.2943%. In addition, over a 3-month period, Black Scholes modeling performs better, with error rates on call and put options of 0.8821% and 1.0337%, respectively.\u0000Novelty – The longer the agreement term, the greater the error rate in both option models. The study results revealed that the error rate for the 3-month period was higher than the 1-month period.\u0000Type of Paper: Empirical/ Review\u0000JEL Classification: G11, G13.\u0000Keywords: Option; Black Scholes; GARCH; AMSE; Long Straddle\u0000Reference to this paper should be made as follows: Hendrawan, R; Hasibuan, M.D.A. (2023). Comparison of Black-Scholes and Garch Option Models on The Kompas100 Index With a Long Straddle Strategy During 2008-2021, J. Fin. Bank. Review, 7(4), 01 – 15. https://doi.org/10.35609/jfbr.2023.7.4(1)","PeriodicalId":246150,"journal":{"name":"GATR Journal of Finance and Banking Review Vol. 7 (4) January - March 2023","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130787650","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy","authors":"R. Hendrawan, Z. Arifin","doi":"10.35609/jfbr.2023.7.4(2)","DOIUrl":"https://doi.org/10.35609/jfbr.2023.7.4(2)","url":null,"abstract":"Objective –The revival of the Islamic economy in Indonesia was marked by the establishment of the Jakarta Islamic Index (JII) on July 3, 2000. From 2000 to 2020, two economic crises hit Indonesia in 2008 and 2020. These crises also had an impact on the high price fluctuations of JII. Assets can be protected from significant losses by hedging. One of the hedging strategies was option contracts with a collar strategy.\u0000Methodology – The data analysed in this research were the JII closing price data from 2000 to 2020 using the Black Scholes model and the GARCH model with the Collar strategy.\u0000Findings – Option with the Collar strategy provided more benefits in crises than without Option. In crisis conditions, the Option with the GARCH method and the collar strategy provided a higher average profit of 3.07% on the one-month Option and 7.01% on the three-month Option than without using the Option with the collar strategy. In non-crisis conditions, the Option using the GARCH method, and the collar strategy provided a 0.16% higher average profit at one-month maturity than without the Option. Meanwhile, the average profit decreased by 1.45% at the three-month maturity. The collar strategy resulted in less volatility. Without a collar strategy, JII volatility was 103%. The collar strategy produced maximum volatility of 12.71%, 15.18%, and 17.14%. The findings also revealed that the GARCH model was better than the Black Scholes based on the AMSE value obtained in crisis conditions with a maturity of one month and three months and in non-crisis conditions with a maturity of one month. Meanwhile, the Black Scholes model showed better results in non-crisis conditions with a maturity of three months.\u0000Novelty – Based on the research result, the Option with a collar strategy is effective for hedging in crisis conditions. This research assesses the collar strategy with several different maturity values to get the most effective value.\u0000Type of Paper: Empirical\u0000JEL Classification: G11, G13.\u0000Keywords: Black Scholes; Collar Strategy; GARCH; Jakarta Islamic Index; Option Contracts.\u0000Reference to this paper should be made as follows: Hendrawan, R; Arifin, Z. (2023). Comparison of Black-Scholes and GARCH Option Models on The Jakarta Islamic Index with Collar Strategy, J. Fin. Bank. Review, 7(4), 16 – 27. https://doi.org/10.35609/jfbr.2023.7.4(2)","PeriodicalId":246150,"journal":{"name":"GATR Journal of Finance and Banking Review Vol. 7 (4) January - March 2023","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132893520","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}