penentuan harga opsi beli tipe asia dengan metode monte carlo-control variate

Clicks: 28
ID: 205143
2017
Free PDF
Article Quality & Performance Metrics
Overall Quality
Not rated
Combines reader engagement with the AI quality analysis. This article has not been analysed, so there is no overall score — reader engagement is measured and shown alongside.
AI Quality Assessment
Not analyzed
Readership in this journal
Emerging

Ranked #27 of 31 articles by views in brain: broad research in artificial intelligence and neuroscience

Most read Least read

Bar heights use a square-root scale.

Mint this article as an NFT
Not yet minted

Create a permanent, verifiable on-chain record of this article on the Scimatic Network. The NFT is held in your Journament account, and you can withdraw it to your own wallet at any time.

5 SUSD one-off · no wallet required
Sign in to mint
Abstract
Option is a contract between the writer and the holder which entitles the holder to buy or sell an underlying asset at the maturity date for a specified price known as an exercise price. Asian option is a type of financial derivatives which the payoff taking the average value over the time series of the asset price. The aim of the study is to present the Monte Carlo-Control Variate as an extension of Standard Monte Carlo applied on the calculation of the Asian option price. Standard Monte Carlo simulations 10.000.000 generate standard error 0.06 and the option price convergent at Rp.160.00 while Monte Carlo-Control Variate simulations 100.000 generate standard error 0.01 and the option price convergent at Rp.152.00. This shows the Monte Carlo-Control Variate achieve faster option price toward convergent of the Monte Carlo Standar.
Reference Key
artanadi2017e-jurnalpenentuan Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;NI NYOMAN AYU ARTANADI;KOMANG DHARMAWAN;KETUT JAYANEGARA
Journal brain: broad research in artificial intelligence and neuroscience
Year 2017
DOI
10.24843/MTK.2017.v06.i01.p145
URL
https://ojs.unud.ac.id/index.php/mtk/article/view/27166
Keywords Keywords not found

Citations

No citations found. To add a citation, contact the admin at info@scimatic.org

Comments

No comments yet. Be the first to comment on this article.