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NI LUH PUTU KARTIKA WATI
Udayana University
Mathematics

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PERBANDINGAN KEKONVERGENAN METODE CONDITIONAL MONTE CARLO DAN ANTITHETIC VARIATE DALAM MENENTUKAN HARGA OPSI CALL TIPE BARRIER NI LUH PUTU KARTIKA WATI; KOMANG DHARMAWAN; KARTIKA SARI
E-Jurnal Matematika Vol 7 No 3 (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.i03.p214

Abstract

Barrier option is an option where the payoff price depends on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in determining the call barrier option price. The call barrier option price is influenced by several factors: initial stock price, stock volatility, risk-free interest rate, maturity, strike price and barrier. The calculation of call barrier option price is obtained by simulating stock price movements with different simulation number. Based on the simulation result, it is obtained that the calculation of call barrier option price with conditional Monte Carlo method converge faster than the antithetic variate method.
Co-Authors Kartika Sari Komang Dharmawan