BibTex Citation Data :
@article{Medstat19611, author = {Abdurakhman Abdurakhman and Di Asih I Maruddani}, title = {PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI}, journal = {MEDIA STATISTIKA}, volume = {11}, number = {1}, year = {2018}, keywords = {}, abstract = { The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in finance as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer company are significantly contributes to the phenomenon of volatility smile. Hermite polynomial is used to get an expansion of the probability distribution. In this paper, Gram-Charlier model is applied to BTPN Bond which is issued in 2017. The result showed that Gram-Charlier model is more consistent than Black-Scholes model when the skewness and kurtosis are taken into account. Keywords: Skewness, Kurtosis, Gram-Charlier, Hermite polynomial }, issn = {2477-0647}, pages = {39--51} doi = {10.14710/jhp.%v.%i.82-88}, url = {https://ejournal.undip.ac.id/index.php/media_statistika/article/view/19611} }
Refworks Citation Data :
The Gram-Charlier expansion, where skewness and kurtosis directly appear as parameters, has become popular in finance as a generalization of the normal density. Non-normal skewness and kurtosis of underlying asset of bond issuer company are significantly contributes to the phenomenon of volatility smile. Hermite polynomial is used to get an expansion of the probability distribution. In this paper, Gram-Charlier model is applied to BTPN Bond which is issued in 2017. The result showed that Gram-Charlier model is more consistent than Black-Scholes model when the skewness and kurtosis are taken into account.
Keywords: Skewness, Kurtosis, Gram-Charlier, Hermite polynomial
Article Metrics:
Last update:
Variance gamma for stock model performance with excess kurtosis
The effect of extreme asset prices to the valuation of zero coupon bond with jump diffusion processes
Comparing Merton model and Gram-Charlier model to capture skewness and kurtosis on bond performance
Last update: 2024-11-20 10:24:49
The Authors submitting a manuscript do so on the understanding that if accepted for publication, copyright of the article shall be assigned to Media Statistika journal and Department of Statistics, Universitas Diponegoro as the publisher of the journal. Copyright encompasses the rights to reproduce and deliver the article in all form and media, including reprints, photographs, microfilms, and any other similar reproductions, as well as translations.
Media Statistika journal and Department of Statistics, Universitas Diponegoro and the Editors make every effort to ensure that no wrong or misleading data, opinions or statements be published in the journal. In any way, the contents of the articles and advertisements published in Media Statistika journal are the sole and exclusive responsibility of their respective authors and advertisers.
The Copyright Transfer Form can be downloaded here: [Copyright Transfer Form Media Statistika]. The copyright form should be signed originally and send to the Editorial Office in the form of original mail, scanned document or fax :
Dr. Di Asih I Maruddani (Editor-in-Chief) Editorial Office of Media StatistikaDepartment of Statistics, Universitas DiponegoroJl. Prof. Soedarto, Kampus Undip Tembalang, Semarang, Central Java, Indonesia 50275Telp./Fax: +62-24-7474754Email: maruddani@live.undip.ac.id
Media Statistika
Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro
Gedung F Lantai 3, Jalan Prof Jacub Rais, Kampus Tembalang
Semarang 50275
Indexing:
