Detail Perbandingan Metode Quasi Monte Carlo dengan Barisan Kuasi-Acak Halton dan Barisan Kuasi-Acak Sobol dalam Option Pricing (Majalah Ekonomi dan Komputer, No.1 Tahun XV-April 2007) Bibliografi Author: Uyanto, Stanislaus Suryadi Topik: Monte Carlo; Quasi-Monte Carlo; European options Bahasa: (ID )     Penerbit: [s.n]     Tempat Terbit: Depok    Tahun Terbit: 2007     Jenis: Article - diterbitkan di jurnal ilmiah nasional Fulltext: Stanislaus Suryadi Uyanto_2.pdf (989.91KB; 16 download) Ketersediaan Perpustakaan Pusat (Semanggi) Nomor Panggil: RR-2750 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada     Lihat Detail Induk Abstract The Monte Carlo method has proved to be a valuable tool for estimating security prices for which closed form solutions do not exist. This paper evaluate the Quasi-Monte Carlo method that has attractive properties for that, numerical valuation of derivatives ano examines the use of Monte Carlo simulation with low-discrepancy sequence. for valuing derivatives versus the traditional Monte Carlo method using pseudo-random sequences. The relative, performance of the methods is evaluated based on Euro?ean options. Opini Anda Klik untuk menuliskan opini Anda tentang koleksi ini! Lihat Sejarah Pengadaan  Konversi Metadata   Kembali

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