Open AccessESTIMASI NILAI IMPLIED VOLATILITY MENGGUNAKAN SIMULASI MONTE CARLO
Author(s) -
Makbul Muflihunallah,
Komang Dharmawan,
Ni Made Asih
Publication year - 2018
Publication title -
e-jurnal matematika
Language(s) - English
Resource type - Journals
ISSN - 2303-1751
DOI - 10.24843/mtk.2018.v07.i03.p209
Subject(s) - implied volatility , volatility (finance) , economics , volatility smile , econometrics , forward volatility , volatility swap , monte carlo method , statistic , financial economics , volatility risk premium , stochastic volatility , black–scholes model , mathematics , statistics
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.