PENENTUAN HARGA OPSI BELI TIPE ASIA DENGAN METODE MONTE CARLO-CONTROL VARIATE

NI NYOMAN AYU ARTANADI, KOMANG DHARMAWAN, KETUT JAYANEGARA
2017 E-Jurnal Matematika  
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
more » ... tandard 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.
doi:10.24843/mtk.2017.v06.i01.p145 fatcat:6eeriqb3x5ehjasuifjfmooe7a