PENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO
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...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Udayana
2018-05-01
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| Series: | E-Jurnal Matematika |
| Online Access: | https://ojs.unud.ac.id/index.php/mtk/article/view/39548 |