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Surya Amami Pramuditya
Universitas Swadaya Gunung Jati
Religion Agriculture, Biological Sciences & Forestry Humanities Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Languange, Linguistic, Communication & Media Mathematics Social Sciences Other

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Journal : Jurnal Matematika: MANTIK

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Penentuan Harga Opsi Asia dengan Metode Monte Carlo Surya Amami Pramuditya
Jurnal Matematika MANTIK Vol. 3 No. 1 (2017): Mathematics and Applied Mathematics
Publisher : Mathematics Department, Faculty of Science and Technology, UIN Sunan Ampel Surabaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (475.617 KB) | DOI: 10.15642/mantik.2017.3.1.44-48

Abstract

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.
Co-Authors Artisa Indariani Atina Sabila Khodijah Ayni, Nur Cita Dwi Rosita Citra Dwi Rosita Dede Syaefullah Diding Yadi Sahputra Entit puspita Feriatna, Troynanda Fuji Azzumar Gina Kustina Pujakusuma Handayani, Via Dwi Herri Sulaiman, Herri Ika Wahyuni Indariani, Artisa Iwan Supriadi Jajo Firman Raharjo Muchamad Subali Noto Neneng Aminah Nia Sutrisna Nida Nur'azizzah Purwono, Henri Rian Nazaruddin Azhar Rini Marwati Risnina Wafiqoh Risnina Wafiqoh SAID AKHMAD MAULANA Samsul Maarif Setiyani Setiyani Setiyani Siska Firmasari Siska Firmasari Siska Firmasari, Siska Sri Asnawati Sri Pitriayana Sutrisna, Nia Toto Subroto Trisna Roy Pradipta Trisna Roy Pradipta, Trisna Roy Via Dwi Handayani Via Dwi Handayani Yudrick Maulana Fiqri Yundha Ratnasari