jbm@fe.unpad.ac.id
Sulaeman Rahman Nidar:

I believe that you would serve as an excellent reviewer of the manuscript, "TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018," which has been submitted to Jurnal Bisnis dan Manajemen. The submission's abstract is inserted below, and I hope that you will consider undertaking this important task for us.

Please log into the journal web site by 2020-10-07 to indicate whether you will undertake the review or not, as well as to access the submission and to record your review and recommendation.

The review itself is due 2020-10-14.

Submission URL: http://journal.feb.unpad.ac.id/index.php/jbm/reviewer/submission/88?key=ACCESS_KEY

Thank you for considering this request.

Layyinaturrobaniyah Layyinaturrobaniyah
SCOPUS ID: 57192388917, Universitas Padjadjaran
layyinaturrobaniyah@unpad.ac.id



"TESTING OF THE BLACK SCHOLES AND GARCH MODELS IN LQ45 USING LONG STRADDLE STRATEGY IN 2009-2018"

Abstract
The purpose of this study is to examine the implementation of option contracts using Black Scholes and GARCH on LQ45 index using long straddle strategy. The determination of an appropriate volatility estimate is the most interesting thing in pricing option contracts, where volatility is an important instrument to be included in a model. The process of determining GARCH volatility is formed by determining the best lag of ARIMA. The estimation obtained from the best GARCH model will be applied in determining the price of option contract and comparing its accuracy with Black Scholes. The results of this study are seen by comparing the average percentage value of AverageMean SquaredError (AMSE) of Black Scholes and GARCH with the application of a long straddle strategy, where the smaller the percentage value, the better the model will be. Within 1 month of option contract due date, Black Scholes is better than GARCH with an error value on call option of 2.77%, and on put option of 1.56%. Within 2 months of option contract due date, GARCH is better than Black Scholes with an error value on call option of 8.12%, and on put option of 4.00%. Within 3 months of option contract due date, Black Scholes is better than GARCH with an error value on call option of 12.38%, and on put option of 5.50%. The use of long straddle strategy in LQ45 index only reached a maximum of 60% of possible profits, with an average of around 30% possible profits
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Jurnal Bisnis dan Manajemen
http://journal.feb.unpad.ac.id/index.php/jbm