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LUH HENA TERECIA WISMAWAN PUTRI
Udayana University
Mathematics

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PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO LUH HENA TERECIA WISMAWAN PUTRI; KOMANG DHARMAWAN; I WAYAN SUMARJAYA
E-Jurnal Matematika Vol 7 No 2 (2018)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.24843/MTK.2018.v07.i02.p187

Abstract

The purpose of this research is to compare the selling price of down and out barrier option when the prices are simulated by the Antithetic Variate Monte Carlo and the standar Monte Carlo. Barrier options are path dependent options and the payoff depend on whether the underlying asset price touched the barrier or not during the life of the option. In this research, we conducted simulations against the closing price of the shares of PT Adhi Karya using Standard Monte Carlo simulation and the Monte Carlo-Antithetic Variate simulation. After the simulation, we obtained that the option prices using Antithetic Variate produces a cheaper price than the standar one. We also found that the analytic solution has a smaller error on its confidence interval compare to the Monte Carlo Standar.
Co-Authors I Wayan Sumarjaya Komang Dharmawan