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Abdurakhman Abdurakhman
Departemen Matematika, FMIPA Universitas Gadjah Mada
Decision Sciences, Operations Research & Management

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PENGARUH SKEWNESS DAN KURTOSIS DALAM MODEL VALUASI OBLIGASI Abdurakhman Abdurakhman; Di Asih I Maruddani
MEDIA STATISTIKA Vol 11, No 1 (2018): Media Statistika
Publisher : Department of Statistics, Faculty of Science and Mathematics, Universitas Diponegoro

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (229.702 KB) | DOI: 10.14710/jhp.%v.%i.82-88

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 
Co-Authors Di Asih I Maruddani