Aplikasi Metode Quasi-Monte Carlo dalam Komputasi Keuangan  

Oleh:

Uyanto, Stanislaus Suryadi

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI - atma jaya
Dalam koleksi: Jurnal Ekonomi dan Bisnis vol. 5 no. 1 (Feb. 2005), page 90-96.
Topik: Monte Carlo Method; Multidimensional Numeric Integrations; Computational Finance; Quasi-Monte Carlo Method
Fulltext: Stanislaus S Uyanto.pdf (275.37KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ100.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The prices of complex derivative securities are often represented as multidimensional integrals in modern finance. The Monte Carlo method has proved useful in the evaluation of these multidimensional integrals. The paper describes a recent development in this area that is generating considerable interest. Instead of using random points to evaluate the multidimensional integrals are as in Monte Carlo method one can use a deterministic sequence that are more regularly distibuted. These sequences are known as low discrepancy sequences and the method is known as quasi Monte Carlo. The Paper decribes this approach and gives the application to finance problem.

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