Authors:

NI LUH PUTU KARTIKA WATI, KOMANG DHARMAWAN, KARTIKA SARI

Abstract:

“Barrier option is an option where the payoff price depends on whether or not the stock price passes the barrier during its life time. The aim of the research is to compare the convergence between conditional Monte Carlo and antithetic variate methods in determining the call barrier option price. The call barrier option price is influenced by several factors: initial stock price, stock volatility, risk-free interest rate, maturity, strike price and barrier. The calculation of call barrier option price is obtained by simulating stock price movements with different simulation number. Based on the simulation result, it is obtained that the calculation of call barrier option price with conditional Monte Carlo method converge faster than the antithetic variate method.”

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PDF:

https://jurnal.harianregional.com/mtk/full-41905

Published

2018-09-02

How To Cite

WATI, NI LUH PUTU KARTIKA; DHARMAWAN, KOMANG; SARI, KARTIKA. PERBANDINGAN KEKONVERGENAN METODE CONDITIONAL MONTE CARLO DAN ANTITHETIC VARIATE DALAM MENENTUKAN HARGA OPSI CALL TIPE BARRIER.E-Jurnal Matematika, [S.l.], v. 7, n. 3, p. 271-277, sep. 2018. ISSN 2303-1751. Available at: https://jurnal.harianregional.com/mtk/id-41905. Date accessed: 28 Aug. 2025. doi:https://doi.org/10.24843/MTK.2018.v07.i03.p214.

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ABNT, APA, BibTeX, CBE, EndNote - EndNote format (Macintosh & Windows), MLA, ProCite - RIS format (Macintosh & Windows), RefWorks, Reference Manager - RIS format (Windows only), Turabian

Issue

Vol 7 No 3 (2018)

Section

Articles

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