PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO

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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Author Biographies

LUH HENA TERECIA WISMAWAN PUTRI, Udayana University

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

KOMANG DHARMAWAN, Udayana University

Program Studi Matematika, Fakultas MIPA – Universitas Udayana

I WAYAN SUMARJAYA, Udayana University

Program Studi Matematika, FMIPA Universitas Udayana

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://ojs.unud.ac.id/index.php/mtk/article/view/39548>. Date accessed: 18 oct. 2021. doi: https://doi.org/10.24843/MTK.2018.v07.i02.p187.
Section
Articles

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