{"title":"LQ45指数长期期权策略的Black-Scholes模型与GARCH模型比较","authors":"Riko Hendrawan, Abdul Safar","doi":"10.58777/rfb.v1i2.137","DOIUrl":null,"url":null,"abstract":"This study compared the Black-Scholes and GARCH models in a long strangle strategy applied to the LQ45 index using closing price data from 1998 to 2021. It aimed to assess the benefits, calculate returns during crises and non-crisis periods, and evaluate performance through Average Mean Square Error (AMSE). The Black-Scholes model consistently outperformed GARCH in one- and three-month options. One-month options had an average return of 28.64%, and three-month options, 43.31%. In crises, Black-Scholes delivered average profits of 43.36% for one-month and 45.14% for three-month options. In non-crisis conditions, profits averaged 26% for one-month and 42.84% for three-month options. Model performance varied by option type and market context. Black-Scholes excelled in one-month call options (1.268% error), while GARCH performed better in one-month put options (1.0981% error). For three-month options, GARCH outperformed in call options (1.270% error), and Black-Scholes dominated put options (3.117% error). In summary, the choice between models should consider market conditions, favoring GARCH during crises and Black-Scholes in non-crisis scenarios.","PeriodicalId":474596,"journal":{"name":"Research of Finance and Banking","volume":"58 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-10-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Comparing Black-Scholes and GARCH Models in Long Strangle Option Strategies for LQ45 Index\",\"authors\":\"Riko Hendrawan, Abdul Safar\",\"doi\":\"10.58777/rfb.v1i2.137\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study compared the Black-Scholes and GARCH models in a long strangle strategy applied to the LQ45 index using closing price data from 1998 to 2021. It aimed to assess the benefits, calculate returns during crises and non-crisis periods, and evaluate performance through Average Mean Square Error (AMSE). The Black-Scholes model consistently outperformed GARCH in one- and three-month options. One-month options had an average return of 28.64%, and three-month options, 43.31%. In crises, Black-Scholes delivered average profits of 43.36% for one-month and 45.14% for three-month options. In non-crisis conditions, profits averaged 26% for one-month and 42.84% for three-month options. Model performance varied by option type and market context. Black-Scholes excelled in one-month call options (1.268% error), while GARCH performed better in one-month put options (1.0981% error). For three-month options, GARCH outperformed in call options (1.270% error), and Black-Scholes dominated put options (3.117% error). In summary, the choice between models should consider market conditions, favoring GARCH during crises and Black-Scholes in non-crisis scenarios.\",\"PeriodicalId\":474596,\"journal\":{\"name\":\"Research of Finance and Banking\",\"volume\":\"58 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-10-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Research of Finance and Banking\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.58777/rfb.v1i2.137\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Research of Finance and Banking","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.58777/rfb.v1i2.137","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Comparing Black-Scholes and GARCH Models in Long Strangle Option Strategies for LQ45 Index
This study compared the Black-Scholes and GARCH models in a long strangle strategy applied to the LQ45 index using closing price data from 1998 to 2021. It aimed to assess the benefits, calculate returns during crises and non-crisis periods, and evaluate performance through Average Mean Square Error (AMSE). The Black-Scholes model consistently outperformed GARCH in one- and three-month options. One-month options had an average return of 28.64%, and three-month options, 43.31%. In crises, Black-Scholes delivered average profits of 43.36% for one-month and 45.14% for three-month options. In non-crisis conditions, profits averaged 26% for one-month and 42.84% for three-month options. Model performance varied by option type and market context. Black-Scholes excelled in one-month call options (1.268% error), while GARCH performed better in one-month put options (1.0981% error). For three-month options, GARCH outperformed in call options (1.270% error), and Black-Scholes dominated put options (3.117% error). In summary, the choice between models should consider market conditions, favoring GARCH during crises and Black-Scholes in non-crisis scenarios.