Rudianto Artiono

Sobol and GJR-GARCH for Dominant Factors of European Option Prices in Blue-Chip Index Constituent Stocks

Conditional volatility-based option pricing research generally emphasizes improving volatility inputs, but has not yet fully explained the relative contribution of each parameter to variation in simulated option-pricing responses for Indonesian index stocks. This study integrates...

Modified Black-Scholes Model for Valuing Employee Stock Options with Constant Exit Rate: A Case Study of a Banking Company in Indonesia

Employee Stock Options (ESO) are a form of compensation given to employees in the form of shares that can be purchased within a specified period. The ESO valuation uses the Black Scholes model, assuming employees remain employed until the vesting period is completed, excluding th...