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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Autor principal: Surya Amami Pramuditya
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Publicado: Department of Mathematics, UIN Sunan Ampel Surabaya 2017
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spelling oai:doaj.org-article:58f96bf1ecf24c3aba317127cfa4ea6a2021-12-02T17:38:15ZPenentuan Harga Opsi Asia dengan Metode Monte Carlo2527-31592527-316710.15642/mantik.2017.3.1.44-48https://doaj.org/article/58f96bf1ecf24c3aba317127cfa4ea6a2017-10-01T00:00:00Zhttp://jurnalsaintek.uinsby.ac.id/index.php/mantik/article/view/162https://doaj.org/toc/2527-3159https://doaj.org/toc/2527-3167An 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.Surya Amami PramudityaDepartment of Mathematics, UIN Sunan Ampel SurabayaarticleOption; Asian; Monte CarloMathematicsQA1-939ENMantik: Jurnal Matematika, Vol 3, Iss 1, Pp 44-48 (2017)
institution DOAJ
collection DOAJ
language EN
topic Option; Asian; Monte Carlo
Mathematics
QA1-939
spellingShingle Option; Asian; Monte Carlo
Mathematics
QA1-939
Surya Amami Pramuditya
Penentuan Harga Opsi Asia dengan Metode Monte Carlo
description 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.
format article
author Surya Amami Pramuditya
author_facet Surya Amami Pramuditya
author_sort Surya Amami Pramuditya
title Penentuan Harga Opsi Asia dengan Metode Monte Carlo
title_short Penentuan Harga Opsi Asia dengan Metode Monte Carlo
title_full Penentuan Harga Opsi Asia dengan Metode Monte Carlo
title_fullStr Penentuan Harga Opsi Asia dengan Metode Monte Carlo
title_full_unstemmed Penentuan Harga Opsi Asia dengan Metode Monte Carlo
title_sort penentuan harga opsi asia dengan metode monte carlo
publisher Department of Mathematics, UIN Sunan Ampel Surabaya
publishDate 2017
url https://doaj.org/article/58f96bf1ecf24c3aba317127cfa4ea6a
work_keys_str_mv AT suryaamamipramuditya penentuanhargaopsiasiadenganmetodemontecarlo
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