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Ubudia Hiliaily Chairunnnisa
Departemen Statistika, Fakultas Sains dan Matematika, Universitas Diponegoro
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PEMODELAN TRANSFORMASI FAST-FOURIER PADA VALUASI OBLIGASI KORPORASI (Studi Kasus: PT. Bank Danamon Tbk, PT. Bank CIMB Niaga Tbk, dan PT. Bank UOB Indonesia Tbk) Ubudia Hiliaily Chairunnnisa; Abdul Hoyyi; Hasbi Yasin
Jurnal Gaussian Vol 10, No 1 (2021): Jurnal Gaussian
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.14710/j.gauss.v10i1.30937

Abstract

The basic assumption that is often used in bond valuations is the assumption on the Black-Scholes model. The practical assumption of the Black-Scholes model is the return of assets with normal distribution, but in reality there are many conditions where the return of assets of a company is not normally distributed and causing improperly developed bond valuation modeling. The Fast-Fourier Transform model (FFT) was developed as a solution to this problem. The Fast-Fourier Transformation Model is a Fourier transformation technique with high accuracy and is more effective because it uses characteristic functions. In this research, a modeling will be carried out to calculate bond valuations designed to take advantage of the computational power of the FFT. The characteristic function used is the Variance Gamma, which has the advantage of being able to capture data return behavior that is not normally distributed. The data used in this study are Sustainable Bonds I of Bank Danamon Phase I Year  2019 Series B, Sustainable Bonds II of Bank CIMB Niaga II Phase IV Year 2018 Series C, Sustainable Subordinated Bonds II of Bank UOB Indonesia Phase II 2019. The results obtained are FFT model using the Variance Gamma characteristic function gives more precise results for the return of assets with not normal distribution.  Keywords: Bonds, Bond Valuation, Black-Scholes, Fast-Fourier Transform, Variance Gamma
Co-Authors Abdul Hoyyi Hasbi Yasin