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Journal : International Journal of Applied Mathematics and Computing.

Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method Susanti Marito Barus; Komang Dharmawan; Luh Putu Ida Harini
International Journal of Applied Mathematics and Computing Vol. 2 No. 2 (2025): April: International Journal of Applied Mathematics and Computing
Publisher : Asosiasi Riset Ilmu Matematika dan Sains Indonesia

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.62951/ijamc.v2i2.188

Abstract

Determining the price of option contracts is a crucial aspect of financial markets, particularly for investors aiming to manage risk and make informed investment decisions. In this study, the price of an Asian call option is calculated using the Monte Carlo Stratified Sampling method based on the stock price data of Tesla, Inc. (TSLA) from January 2021 to December 2023. This method has been proven to reduce variance compared to the Standard Monte Carlo simulation, leading to faster price convergence and more efficient results. The parameters used in the simulation include the initial stock price (S_0), number of simulations (N), maturity time (T)dividend = 0, risk-free rate (r), strike price ( K), and volatility
Co-Authors AA Sudharmawan, AA Ananda*, Gusti Ayu Rica ANGGIE EZRA JULIANDA HUTAPEA COKORDA BAGUS YUDISTIRA DESAK PUTU DEVI DAMIYANTI Desak Putu Eka Nilakusmawati EKA N. KENCANA Eka N. Kencana FEBBY VERENNIKA FITRI ANANDA DITA SARASWITA G. K. GANDHIADI GEDE AGUS HENDRA YOGANGGA Gusti Ayu Rica Ananda* I GEDE ARI SUDANA I GEDE ARYA DUTA PRATAMA I GEDE DICKY ARYA BRAMANTA I GEDE HARDI KARMANA I Gede Santi Astawa I GN Lanang Wijayakususma I GUSTI PUTU NGURAH MAHAYOGA I KADEK MENTIK YUSMANTARA I KADEK SONA DWIGUNA I KETUT RESTU WIRANATA I MADE DWI UDAYANA PUTRA I NYOMAN DICKY WIJAYA I Nyoman Widana I PUTU AGUS DARMAWAN DARMA YADNYA I PUTU ARYA YOGA SUMADI I Putu Eka Nila Kencana I PUTU YUDI PRABHADIKA I Wayan Sumarjaya I WAYAN YOGA ASTAWA IDA AYU EGA RAHAYUNI Ida Ayu Putu Ari Utari ISTIQOMAH ISTIQOMAH Jocelynne, Charlotte KADEK INTAN SARI Kartika Sari Ketut Jayanegara Komang Dharmawan KOMANG WAHYUDI SUARDIKA LIA APRIYANI MADE ADI GUNAWAN MADE ASIH Made Susilawati Mahardika, Putu Harry MOH. HERI SETIAWAN NABILA NUR JANNAH Ngurah Agus Sanjaya ER NI KADEK DESI PUJA ANTARI Ni Kadek Emik Sapitri NI KADEK MAYULIANA Ni Ketut Tari Tastrawati NI KOMANG AYU SEDANA DEWI NI LUH GEDE SHINDYA ARMITA NI LUH PUTU RATNA DEWI Ni Luh Putu Suciptawati PANDE GDE DONY GUMILAR PRADITA Z. TRIWULANDARI Putri Cahyaning Putu Harry Mahardika Putu Harry Mahardika PUTU IKA OKTIYARI LAKSMI PUTU SAVITRI DEVI RISKA YUNITA SANI SAEFULOH SARAH VERONICA HUTABALIAN SAYID QOSIM Surma, Odilia Gratiaplena Susanti Marito Barus TIRA CATUR ROSALIA Tjokorda Bagus Oka TRI YANA BHUANA VALERIA TRISNA YUNITA WAYAN ARTHINI Wijayakusuma, I Gusti Ngurah Lanang Wijayakususma, I GN Lanang