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All Journal Zero : Jurnal Sains, Matematika, dan Terapan Jurnal Akuntansi dan Keuangan
David Vijanarco Martal
IPB University
Agriculture, Biological Sciences & Forestry Chemistry Economics, Econometrics & Finance Mathematics Physics

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Stock Hedging Using Strangle Strategy on Vanilla Options and Capped Options Donny Citra Lesmana; David Vijanarco Martal; Unika Nabila; Syifa Fauzia; Raymond Raymond; Zidni Kamal Hasan; M Ridwan Aprizky
Jurnal Akuntansi dan Keuangan Vol. 26 No. 1 (2024): MAY 2024
Publisher : Institute of Research and Community Outreach - Petra Christian University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.9744/jak.26.1.47-55

Abstract

The financial market often experiences unexpected fluctuations that can impact stock values. Therefore, investors require hedging strategies to protect their investment values from unwanted price fluctuations. This study compares the hedging results using the strangle strategy on Vanilla options and Capped options on Micron Technology, Inc. (MU) stock. The methods used are Monte Carlo simulation and Black Scholes Merton to calculate the option prices. The research results indicate that the strangle strategy on Vanilla options has unlimited maximum profit potential, whereas on Capped options, the profit is capped above. However, the potential maximum loss on Capped options is lower than that on Vanilla options. Therefore, Capped options are preferred for hedging the MU stock. The research yields significant practical and theoretical benefits. Practically, it offers investors insights into more effective hedging choices for risk management and profit potential in the stock market. Opting for capped options allows investors to control risk better while preserving profit potential. Theoretically, the study enhances our understanding of cost efficiency and risk profiles across various options strategies, making a vital contribution to financial literature.
Modeling Monthly Rainfall Data Using the Alpha Power Transformed X-Lindley Distribution in the Toba Lake Region Mohamad Khoirun Najib; Sri Nurdiati; Elis Khatizah; Aulia Rizki Firdawanti; Hendri Irwandi; Mirza Farhan Azhari; David Vijanarco Martal; Nicholas Abisha
ZERO: Jurnal Sains, Matematika dan Terapan Vol 9, No 3 (2025): Zero: Jurnal Sains Matematika dan Terapan
Publisher : UIN Sumatera Utara

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.30829/zero.v9i3.25692

Abstract

Modeling rainfall is crucial for hydrological studies and climate adaptation, especially in regions with complex topography such as the Toba Lake area, North Sumatra. Classical probability distributions often struggle to represent skewness, heavy tails, and variability observed in tropical rainfall. This study explores APTXL distribution as a flexible two-parameter model. Through the alpha power transformation, APTXL extends the X-Lindley distribution by introducing an additional shape parameter, allowing better accommodation of asymmetrical and extreme values while maintaining analytical tractability. Statistical properties are derived, and parameters are estimated using maximum likelihood. The model is applied to a long-term dataset from 13 meteorological stations, covering 408 monthly observations per station. Comparative analysis against Gamma, Lognormal, and Generalized Extreme Value distributions using multiple goodness-of-fit criteria indicates that APTXL provides consistently improved performance. These results suggest APTXL as a practical tool for rainfall modeling and water-resource applications in climate-sensitive regions.
Co-Authors Aulia Rizki Firdawanti Donny Citra Lesmana Elis Khatizah Hendri Irwandi M Ridwan Aprizky Mirza Farhan Azhari Najib, Mohamad Khoirun Nicholas Abisha Raymond Raymond Sri Nurdiati Syifa Fauzia Unika Nabila Zidni, Hasan