Authors:

LUH HENA TERECIA WISMAWAN PUTRI, KOMANG DHARMAWAN, I WAYAN SUMARJAYA

Abstract:

“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 the barrier or not during the life of the option. In this research, we conducted simulations against the closing price of the shares of PT Adhi Karya using Standard Monte Carlo simulation and the Monte Carlo-Antithetic Variate simulation. After the simulation, we obtained that the option prices using Antithetic Variate produces a cheaper price than the standar one. We also found that the analytic solution has a smaller error on its confidence interval compare to the Monte Carlo Standar.”

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PDF:

https://jurnal.harianregional.com/mtk/full-39548

Published

2018-05-13

How To Cite

PUTRI, LUH HENA TERECIA WISMAWAN; DHARMAWAN, KOMANG; SUMARJAYA, I WAYAN. PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO.E-Jurnal Matematika, [S.l.], v. 7, n. 2, p. 71-78, may 2018. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-39548. Date accessed: 02 Jun. 2025. doi:https://doi.org/10.24843/MTK.2018.v07.i02.p187.

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Issue

Vol 7 No 2 (2018)

Section

Articles

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