Dual-Hybrid Modeling for Option Pricing of CSI 300ETF

The reasonable pricing of options can effectively help investors avoid risks and obtain benefits, which plays a very important role in the stability of the financial market. The traditional single option pricing model often fails to meet the ideal expectations due to its limited conditions. Combining an economic model with a deep learning model to establish a hybrid model provides a new method to improve the prediction accuracy of the pricing model. This includes the usage of real historical data of about 10,000 sets of CSI 300 ETF options from January to December 2020 for experimental analysis. Aiming at the prediction problem of CSI 300ETF option pricing, based on the importance of random forest features, the Convolutional Neural Network and Long Short-Term Memory model (CNN-LSTM) in deep learning is combined with a typical stochastic volatility Heston model and stochastic interests CIR model in parameter models. The dual hybrid pricing model of the call option and the put option of CSI 300ETF is established. The dual-hybrid model and the reference model are integrated with ridge regression to further improve the forecasting effect. The results show that the dual-hybrid pricing model proposed in this paper has high accuracy, and the prediction accuracy is tens to hundreds of times higher than the reference model; moreover, MSE can be as low as 0.0003. The article provides an alternative method for the pricing of financial derivatives.

Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)

This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January 2016-December 2018. The method used in this research is a quantitative descriptive method. Sample in this study using purposive sampling were 24 stock from INV33 Index and 17 stock from JII Index. The results of the study were as follows : (1) The optimal portfolio of stocks by using capital asset pricing model from INV33 Index are CPIN (Charoen Pokphand Indonesia Tbk), ITMG (Indo Tambangraya Megah Tbk), BBCA (Bank Central Asia Tbk), UNTR (United Tractor Tbk), (TLKM) Telekomunikasi Indonesia (Persero) Tbk, ICBP (Indofood CBP Sukses Makmur Tbk), BBTN (Bank Tabungan Negara Persero Tbk and from JII Index are ADRO (Adaro Energy Tbk), ICBP (Indofood CBP Sukses Makmur Tbk), INCO (Vale Indonesia Tbk), INDF (Indofood Sukses Makmur Tbk), TLKM (Telekomunikasi Indonesia Persero Tbk), UNTR (United Tractor Tbk). (2) The composition of the proportion of funds in optimal portfolio formed by INV33 Index are BBCA (46,49%), CPIN (20,11%), ICBP (12,78%), ITMG (8,59%), UNTR (6,95%), TLKM (4,11%) and BBTN (0,97%) and from JII Index are ICBP (34,96%), ADRO (19,47%), UNTR (16,26%), INCO (10,88%), TLKM (10,43%) and INDF (8,00%). (3) The optimal portfolio of stocks return from INV33 Index was greater than stock portfolio return from JII Index and the optimal portfolio of stocks risk from INV33 Index was lower than stock portfolio risk from JII Index.

Measuring Islamic Stock Performance in Indonesia with A Modified Sharpe Ratio

Since the late 1960s, one of the stock performance analysis tools commonly used is Sharpe Ratio. The Sharpe Ratio consists of three components, namely stock return, risk-free returns, and stock risk. Many studies approach risk-free returns with interest rates, including when measuring the performance of Islamic stocks, while interest rates are prohibited in the concept of Islamic finance. Moreover, the stock risk is measured by a standard deviation which assumes returns are normally distributed, while many stock returns are non-normally distributed. This paper intends to measure the performance of Islamic stocks listed on the Indonesian Stock Exchange (IDX) for the period of January 2011 to July 2018 using a modified Sharpe Ratio. The ratio is modified by replacing the interest rate with four approaches: eliminating the interest rate, changing with zakah rates, changing with inflation, changing with the nominal gross domestic product, and replacing the risk measurement from Standard Deviation to Value at Risk (VaR). The findings provide almost the same results as the original measurement and thus, show very high suitability for using these models in other circumstances. Therefore, on the concept of Islamic finance, risk-free returns can be measured using these four approaches, especially inflation and GDP. This study also recommends inflation and GDP to measure risk-free returns in the Sharia's Compliant Asset Pricing Model (SCAPM) or Islamic Capital Asset Pricing Model (ICAPM).====================================================================================================ABSTRAK – Pengukuran Kinerja Saham Syariah di Indonesia menggunakan Sharpe Ratio Modifikasi. Sejak akhir 1960-an, salah satu alat mengukur kinerja saham yang biasa digunakan adalah Sharpe Ratio. Model Sharpe Ratio terdiri atas tiga komponen, yaitu return saham, return bebas risiko, dan risiko saham. Return bebas risiko diukur mengunakan variabel suku bunga yang digolongkan riba dan dilarang dalam konsep keuangan islam. Sedangkan risiko saham diukur dengan standar deviasi yang mengasumsikan data berdistribusi normal. Paper ini bertujuan untuk mengukur kinerja saham syariah yang terdaftar pada Bursa Efek Indonesia (BEI) untuk periode Januari 2011 sampai Juli 2018 dengan menggunakan Sharpe Ratio modifikasi. Kajian akan memodifikasi model Sharpe Ratio dengan mencari variabel alternatif penganti suku bunga dengan empat pendekatan, yaitu: menghilangkan variabel suku bunga tersebut, mengganti dengan zakat rate, mengganti dengan inflasi, dan mengganti dengan produk domestik bruto, serta mengganti standar deviasi dengan Value at Risk (VaR) sebagai pengukur risiko saham yang selanjutnya diimplementasikan pada pasar modal syariah di Indonesia periode Januari 2011 - Juli 2018. Hasil kajian menunjukkan kesesuaian yang sangat tinggi untuk hasil pengukuran kelima model tersebut. Dilihat dari kedekatan hasil pengukuran kinerja, kelima model tersebut dapat dikelompokkan menjadi dua, yaitu model dengan tingkat suku bunga, inflasi, dan PDB sebagai kelompok pertama, sedangkan model tanpa suku bunga dan tingkat zakat sebagai kelompok kedua

Pricing Vulnerable Options in a Mixed Fractional Brownian Motion with Jumps

A new framework for pricing European vulnerable options is developed in the case where the underlying stock price and firm value follow the mixed fractional Brownian motion with jumps, respectively. This research uses the actuarial approach to study the pricing problem of European vulnerable options. An analytic closed-form pricing formula for vulnerable options with jumps is obtained. For the purpose of understanding the pricing model, some properties of this pricing model are discussed in the paper. Finally, we compare and analyze the pricing results of different pricing models and discuss the influences of basic parameters on the pricing results of our proposed model by using numerical simulations, and the corresponding economic analyses about these influences are given.

ARBITRAGEUR BEHAVIOR IN SENTIMENT-DRIVEN ASSET-PRICING

This study aims to model arbitrageur behavior in a sentiment-driven capital asset-pricing model under the premise of reflecting a more detailed decomposition of investor types in the equity markets. We explore the behavior and the impact of arbitrageur behavior, particularly, on pricing and on key financial ratios. We observe that the prevalence of the arbitrageur counteracts the effects of unsophisticated investors, resulting in a lower volatility of the price–dividend ratio, lower predictive power of changes in consumption for future price changes and lower equity premium. Thus, the results of our research allow us to conjecture that the extrapolation bias in the prices is lowered.