IMPLEMENTASI METODE MARKOV CHAIN MONTE CARLO DALAM PENENTUAN HARGA KONTRAK BERJANGKA KOMODITAS

IMPLEMENTASI METODE MARKOV CHAIN MONTE CARLO DALAM PENENTUAN HARGA KONTRAK BERJANGKA KOMODITAS

<p><em>The aim of the research is to implement Markov Chain Monte Carlo </em>(MCMC)<em> simulation method to price the futures contract of cocoa commodities. The result shows that </em>MCMC<em> is more flexible than Standard Monte Carlo (SMC) simulation method bec...

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Bibliographic Details
Main Authors: PUTU AMANDA SETIAWANI, KOMANG DHARMAWAN, I WAYAN SUMARJAYA
Format: Article
Language:English
Published: Universitas Udayana 2015-06-01
Series:E-Jurnal Matematika
Subjects:
futures contract
Markov Chain Monte Carlo
Standard Monte Carlo
hit-and-run sampler
Online Access:http://ojs.unud.ac.id/index.php/mtk/article/view/15105

Internet

http://ojs.unud.ac.id/index.php/mtk/article/view/15105

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