PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI

DOI: https://doi.org/10.14710/medstat.11.1.39-51

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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

 

  1. Abdurakhman Abdurakhman  Scopus Scholar Sinta
    Departemen Matematika, FMIPA Universitas Gadjah Mada, Indonesia
    Biodata
  2. Di Asih I Maruddani  Scopus Sinta
    Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia