ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO

  • MAKBUL MUFLIHUNALLAH Udayana University
  • KOMANG DHARMAWAN Udayana University
  • NI MADE ASIH Udayana University

Abstract

Investing among investors is an exciting activity to gain profit in the financial world. The development of investment in the financial world affects the number of alternative investment instruments that can be offered to investors in the capital market. The management of instruments in finance depends on the accuracy of forecasting of variables for example volatility. Volatility is a statistic of the degree of price variation in one period to the next which is expressed by ?. Volatility values can be estimated using Implied Volatility. Implied Volatility is the volatility used in determining the price of European options obtained by equalizing the price of the theoretical options, the price obtained from the Black-Scholes model, with the option price in the market. In this research will discuss how to estimate Implied Volatility value using the option obtained from simulation with Monte Carlo.

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Author Biographies

MAKBUL MUFLIHUNALLAH, Udayana University

Program Studi Matematika, Fakultas MIPA–Universitas Udayana

KOMANG DHARMAWAN, Udayana University

Program Studi Matematika, Fakultas MIPA–Universitas Udayana

NI MADE ASIH, Udayana University

Program Studi Matematika, Fakultas MIPA–Universitas Udayana

Published
2018-09-02
How to Cite
MUFLIHUNALLAH, MAKBUL; DHARMAWAN, KOMANG; ASIH, NI MADE. ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO. E-Jurnal Matematika, [S.l.], v. 7, n. 3, p. 239-245, sep. 2018. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/41900>. Date accessed: 07 aug. 2020. doi: https://doi.org/10.24843/MTK.2018.v07.i03.p209.
Section
Articles

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