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Robiyanto Robiyanto, Robiyanto
Jurusan Teknik Sipil Fakultas Teknik Universitas Lampung.
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Journal : JTAM (Jurnal Teori dan Aplikasi Matematika)

 1 
Simulation-Based Pricing and Settlement Price Distributions of Indonesian Structured Warrants Sasongko, Leopoldus Ricky; Mahatma, Tundjung; Robiyanto, Robiyanto
JTAM (Jurnal Teori dan Aplikasi Matematika) Vol 9, No 2 (2025): April
Publisher : Universitas Muhammadiyah Mataram

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.31764/jtam.v9i2.29282

Abstract

The Indonesian capital market has experienced significant growth, marked by the introduction of Structured Warrants (SWs) as innovative financial instruments. This study aims to develop a robust simulation-based pricing model for Indonesian Call SWs utilizing the Geometric Brownian Motion (GBM) framework and to determine their settlement price distributions. Monte Carlo simulations were employed to accurately capture the specific characteristics of Indonesian Call SWs, notably their average-price settlement mechanism and conversion rates. The results indicate that the settlement prices conform to a lognormal distribution, validating the GBM assumption and aligning with key trading metrics such as implied volatility, which is widely utilized in the Indonesian SW market. Additionally, the Symmetrical Auto Rejection rule, which imposes realistic constraints on underlying asset price movements, significantly enhances model realism and better reflects actual market conditions. The findings reveal that simulated Indonesian Call SW prices are slightly lower compared to values derived from the Black-Scholes model adjusted for conversion rates, highlighting opportunities for further refinement of pricing methodologies. Investors can leverage these insights to better assess risks and returns by anticipating volatility and price trends, with paying close attention to conversion rates and settlement mechanisms. Issuers may benefit from improved pricing accuracy, thus minimizing mispricing risks, while regulators can utilize this research to assess current market rules and design policies aimed at increasing market efficiency and transparency. 
Co-Authors A. Harijono A.A. Ketut Agung Cahyawan W Adiwidjojo, Enrico Pranata Agus Dwi Churniawan, Agus Dwi Akhmadi Akhmadi Alsyahrin, Dea Prastica Amalia, Yessi Andrian Dolfriandra Huruta Angelina, Ria Anggreni, Maretha Kris Dwi Apriani Dorkas Rambu Atahau Asmaul Husna Azalia, Kezia Maylani Budi Frensidy, Budi Butarbutar, Ruth Haryati Cahyono, Aji Wikan Catherine, Happy Churniawan, Agus Dwi Dwijayati, Bonita Restu Eka Handriani Eka Kartika Untari Fatikasari, Imania Fitri, Alya Syafika Gunadi, Patrisinus Ceasar Hadi, Natanael Kristolife Ardana Hadisa, Nurul Harjum Muharam Hartanto, Aldhi Fajar Harwi Kusnadi Heny Handayani Hermiana, Aida Islamy, Muhamad Rido Isnindar Isnindar Jeni, Frima Jusak Jusak Jusak, Jusak Komala Inggarwati, Komala Kusuma, Ria Lakaba, Angriana Leopoldus Ricky Sasongko Lestari, Urai Indah Rachmawati Liana, Jesica Luliana, Sri Marsela, Marsiana Melcin, Sella Angelina Mikasari, Wilda Nafiah, Ilma Nahar, Zuwan Nisfu Nera Umilia Purwanti, Nera Umilia Nugroho, Ainine Devara Nurlita, Eva Nurmainah Nurmainah Nurohman, Nurohman Oktavianto, Dismas Petrus Wijayanto Potto, Otniel Syebastian Agusto Pratiwi Apridamayanti, Pratiwi Pratiwi, Nabilla Putri Pratiwi, Siska Gita Priyanto, Aldi Rahmadani, Ardha Laila Reni Haerani Rihfenti Ernayani Rosmimi, Monika Safitri, Yunita Dewi Salvatori, Etheldreda Gladys Samuel Martono Sanera, Ferlino Saputra, Ilham Saputri, Aisyah Sari, Ardilla Putri Naina Stefan, Yonatan Alvin Sudjinan, Sudjinan Supentri Suraya, Dini Susanti, Ressi Tamara, Sephia Lisa Tundjung Mahatma Wibowo, Stefanus Chandra Wisnu Mawardi Yesmawati, Yesmawati Yuliana, Ashalia Fitri Yunita Yunita