PENENTUAN NILAI VALUE at RISK PADA SAHAM IHSG MENGGUNAKAN MODEL GEOMETRIC BROWNIAN MOTION DENGAN LOMPATAN
<p><em>The aim of this research was to measure the risk of the IHSG stock data using the Value at Risk (VaR). IHSG stock index data typically indicates a jump. However, Geometric Brownian Motion (GBM) model can not catch any of the jumps. To view the jumps, it is necessary that the model was then de...
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| Автори: | , , |
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| Формат: | Artigo |
| Мова: | Inglês |
| Опубліковано: |
Universitas Udayana
2015-06-01
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| Серія: | E-Jurnal Matematika |
| Предмети: | |
| Онлайн доступ: | http://ojs.unud.ac.id/index.php/mtk/article/view/13550 |
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