Perbandingan Metoda Monte Carlo Standar, Variabel Antitetis dan Kontrol Variat dalam Menentukan Harga Opsi Call Asia  

Oleh:

Yong, Benny ; Stefanus, Yose

Jenis: Article from Journal - ilmiah nasional - tidak terakreditasi DIKTI
Dalam koleksi: SIGMA: Jurnal Sains dan teknologi vol. 10 no. 1 (Jan. 2007), page 71-76.
Topik: Option Pricing Theory; Asian Call Option; Monte Carlo Simulation; Geometric Averaging
Fulltext: SS25.6 10-1 0107 71-76.pdf (847.43KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: SS25.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

Option is one of the derivative tools which currently has been undergoing great progress. The option style may vary, such as European option, American option, Asian option, etc. This paper explores the Asian option whose value will be calculated using three methods, i.e. the standard Monte Carlo Simulation, the antithetic variable Monte Carlo, and the control variate Monte Carlo. The results of the three methods will then be compared to each other. The conclusion is that the result of Asian call option price from the control variate method is the most accurate one.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali