Penentuan Harga Opsi Asia dengan Metode Monte Carlo
An option is a contract between a holder and a writer in which the writer grants the rights (not obligations) to the holder to buy or sell the assets of the writer at a certain price (strike price) at maturity time. Asian options are included in the dependent path option. This means that Asia's...
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| Formato: | article |
| Lenguaje: | EN |
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Department of Mathematics, UIN Sunan Ampel Surabaya
2017
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/58f96bf1ecf24c3aba317127cfa4ea6a |
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| Sumario: | An option is a contract between a holder and a writer in which the writer grants the rights (not obligations) to the holder to buy or sell the assets of the writer at a certain price (strike price) at maturity time. Asian options are included in the dependent path option. This means that Asia's payoff option depends not only on the stock price at maturity time, but it is the average stock price during its maturity and symbolized A (average). Monte Carlo is basically used as a numerical procedure to estimate the expected value of pricing product derivatives. The techniques used are the standard Monte Carlo and variance reduction. The result obtained the Asia call option price and put for both techniques with 95% confidence interval. The variance reduction technique looks faster reducing 95% confidence interval than standard method. |
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