PENENTUAN HARGA OPSI BELI TIPE ASIA DENGAN METODE MONTE CARLO-CONTROL VARIATE
Abstract: Option is a contract
between the writer and the holder which entitles the holder to buy or sell an
underlying asset at the maturity date for a specified price known as an
exercise price. Asian option is a type of financial derivatives which the
payoff taking the average value over the time series of the asset price. The
aim of the study is to present the Monte Carlo-Control Variate as an extension
of Standard Monte Carlo applied on the calculation of the Asian option price.
Standard Monte Carlo simulations 10.000.000 generate standard error 0.06 and
the option price convergent at Rp.160.00 while Monte Carlo-Control Variate
simulations 100.000 generate standard error 0.01 and the option price
convergent at Rp.152.00. This shows the Monte Carlo-Control Variate achieve
faster option price toward convergent of the Monte Carlo Standar.
Penulis: NI NYOMAN AYU
ARTANADI, KOMANG DHARMAWAN, KETUT JAYANEGARA
Kode Jurnal: jpmatematikadd170167
