PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO

PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO

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...

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Bibliographic Details
Main Authors: LUH HENA TERECIA WISMAWAN PUTRI, KOMANG DHARMAWAN, I WAYAN SUMARJAYA
Format: Article
Language:English
Published: Universitas Udayana 2018-05-01
Series:E-Jurnal Matematika
Online Access:https://ojs.unud.ac.id/index.php/mtk/article/view/39548

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