PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI

*Abdurakhman Abdurakhman -  Departemen Matematika, FMIPA Universitas Gadjah Mada, Indonesia
Di Asih I Maruddani -  Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro, Indonesia
Received: 24 Jul 2018; Published: 29 Sep 2018.
Open Access Copyright (c) 2018 MEDIA STATISTIKA
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Citation Format:
Article Info
Section: Articles
Language: ID
Full Text:
Statistics: 413 1066
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

 

Article Metrics: