ESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO

• Main Authors: MAKBUL MUFLIHUNALLAH, KOMANG DHARMAWAN, NI MADE ASIH
• Format: Article
• Language: English
• Published: Universitas Udayana 2018-09-01
• Series: E-Jurnal Matematika
• Online Access: https://ojs.unud.ac.id/index.php/mtk/article/view/41900

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.