Penentuan Harga Opsi Asia dengan Metode Monte Carlo

Authors

  • Surya Amami Pramuditya Universitas Swadaya Gunung Jati

DOI:

https://doi.org/10.15642/mantik.2017.3.1.44-48

Keywords:

Option; Asian; Monte Carlo

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.

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References

[1] Fu, M. C., Madan, D. B., & Wang, T. Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods. Journal of Computational Finance, 2(2), (1999). 49-74.
[2] Hull, J.C., Options, Futures, and Other Derivatives (Eighth Edition). Pearson, England. (2012).
[3] Podlozhnyuk, V., & Harris, M. Monte Carlo Option Pricing. CUDA SDK. (2008).
[4] Pramuditya, S.A., & Sidarto, K. A. Penentuan Harga Opsi Asia Dengan Model Binomial Dipercepat. Repository FKIP Unswagati. (2013).
[5] Pramuditya, S.A. Perbandingan Metode Binomial dan Metode Black-Scholes Dalam Penentuan Harga Opsi. SAINSMAT, 5(1). (2016).
[6] Seydel, R., Tools for Computational Finance. Springer-Verlag, Berlin. (2002).

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Published

2017-10-26

How to Cite

Pramuditya, S. A. (2017). Penentuan Harga Opsi Asia dengan Metode Monte Carlo. Jurnal Matematika MANTIK, 3(1), 44–48. https://doi.org/10.15642/mantik.2017.3.1.44-48

Issue

Vol. 3 No. 1 (2017): Mathematics and Applied Mathematics

Section

Articles

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