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Homoskedastis or Heteroskedastis Volatility Model for Option Pricing?

机译：期权定价的同方或异方波动模型？

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The purpose of this research is to compare the accuracy of Black-Scholes Option Model and GARCH option models for Stock option utilizing data from Astra, BCA, Indofood and Telkom at the Indonesian Stock Exchange.rnThe intraday stock return of Astra, BCA, Indofood and Telkom exhibits an overwhelming presence of volatility clustering, suggesting that GARCH model has an effect which best corresponds with the actual price. The best model is constructed using ARIMA model and the best lag in GARCH model is extracted.rnThe finding from this research show that by comparing the average percentage mean squared errors of the GARCH Option Model and the Black-Scholes Option Model , the former was found more accurate than the latter. GARCH Model relatively improves average percentage mean squared errors of Black-Scholes Model ; one month option shows a twenty eight point ten percent improvement, two month option shows twenty three point thirty percent and three month option shows twenty percent.
机译：本研究的目的是利用印尼证券交易所Astra，BCA，Indofood和Telkom的数据比较Black-Scholes期权模型和GARCH期权模型对股票期权的准确性。rnAstra，BCA，Indofood和Telkom展示了压倒性的波动聚类，这表明GARCH模型具有与实际价格最合适的效果。研究结果表明，通过比较GARCH期权模型和Black-Scholes期权模型的平均均方误差百分比，可以找到前者。比后者更准确。 GARCH模型相对改善了Black-Scholes模型的平均百分比均方误差；一个月的选项显示了百分之二十八的百分之十的改善，两个月的选项显示了百分之二十三十三的百分之，三个月的选项显示百分之二十。

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