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All Journal JURNAL MATEMATIKA STATISTIKA DAN KOMPUTASI PYTHAGORAS: Jurnal Program Studi Pendidikan Matematika Communication in Biomathematical Sciences Limits: Journal of Mathematics and Its Applications Jambura Journal of Mathematics Jurnal Matematika UNAND Contemporary Mathematics and Applications (ConMathA) Jurnal Lebesgue : Jurnal Ilmiah Pendidikan Matematika, Matematika dan Statistika Jambura Journal of Biomathematics (JJBM) Jurnal Diferensial Pattimura International Journal of Mathematics (PIJMath) Limits: Journal of Mathematics and Its Applications Indonesian Journal of Computational and Applied Mathematics
Rahmi, Emli
Universitas Negeri Gorontalo
Computer Science & IT Decision Sciences, Operations Research & Management Economics, Econometrics & Finance Education Engineering Materials Science & Nanotechnology Mathematics Public Health Social Sciences

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Application of the Monte Carlo Method to Pricing Lookback Fixed Option with Stochastic Volatility Hidayanti, Sri Amalia; Rahmi, Emli; Yahya, Lailany
Indonesian Journal of Computational and Applied Mathematics Vol. 1 No. 1: February 2025
Publisher : Gammarise Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.64182/indocam.v1i1.6

Abstract

Options are a derivative product that trades the right to call and put on an asset at a certain price and during an agreed time. Determining the optimal option price is often difficult due to changes in stock prices. One model that can be used to calculate the price of Lookback Fixed options is the Monte Carlo Method with stochastic volatility of the Heston model, with parameter estimation using Ordinary Least Squares (OLS), and Euer-Maruyama and calculation of the effect of initial stock price, strike, and maturity time. The estimated stock price is then used to calculate the Lookback Fixed option price using the Monte Carlo method. The research results obtained good results with a fairly small error rate. In addition, the analysis of the effect of strike price, strike, and maturity time shows results consistent with option pricing theory.
Analysis of a Predator-Prey Model incorporating Prey Cannibalism and Intraspecific Competition on Predator Biduli, Meiske; Rahmi, Emli; Nasib, Salmun K.
Indonesian Journal of Computational and Applied Mathematics Vol. 1 No. 2: June 2025
Publisher : Gammarise Publishing

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.64182/indocam.v1i2.33

Abstract

In this research, we formulated a predator-prey model by considering cannibalism in the prey and intraspecific competition on predator population. We found three types of equilibrium points existed under certain condition, except the extinction of all population equilibrium point. Further, we analyzed the local stability of each equilibrium point via linearization method. We found that the extinction of all population equilibrium point is always unstable and the other points locally asymptotically stable under some conditions. Finally, the numerical simulation carried out to verify the analytical results and to perform the impact of prey cannibalism rate.
Co-Authors Abdussamad, Trizaning Nursahbani Agusyarif Rezka Nuha Ahaya, Sitty Oriza Sativa Putri Aliwu, Randa Resvitasari Armayani Arsal Beay, Lazarus Kalvein Biduli, Meiske DIAN SAVITRI Djihad Wungguli Gani, Friansyah Hasan S. Panigoro Hidayanti, Sri Amalia Ibrahim, Rusdianto Isran K Hasan Karim, Finansiya S. Abd. Kasim, Ranan La Ode Nashar Lailany Yahya Mahmud, Sri Lestari Nadiyyah, Ana NISKY IMANSYAH YAHYA Novianita Achmad Nurhalis Hasan Nurwan Nurwan Nurwan Nurwan, Nurwan Resmawan Resmawan Reza Mokodompit Reza Mokodompit Salmun K. Nasib Sidik, Amelia Tri Rahma Siti Maisaroh Siti Nurmardia Abdussamad