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Nathania Azzah Mu'azara

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Open access Nov 2026

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 BlackScholes, GJR-GARCH asymmetric vola...

Nathania Azzah Mu'azara, Rudianto Artiono · 0 citations

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