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All Journal International Journal of Applied Mathematics and Computing.
Susanti Marito Barus
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Computer Science & IT Mathematics

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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 Komang Dharmawan LUH PUTU IDA HARINI