Open AccessPENENTUAN HARGA JUAL OPSI BARRIER TIPE EROPA DENGAN METODE ANTITHETIC VARIATE PADA SIMULASI MONTE CARLO
Author(s) -
Luh Hena Terecia Wismawan Putri,
Komang Dharmawan,
I Wayan Sumarjaya
Publication year - 2018
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2018.v07.i02.p187
Subject(s) - monte carlo method , random variate , mathematics , statistics , random variable
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.