Article Per Year (5 Year)
p-Index From 2020 - 2025
0.23
P-Index
This Author published in this journals
All Journal BAREKENG: Jurnal Ilmu Matematika dan Terapan
Dewi, Komang Nonik Afsari
Unknown Affiliation
Computer Science & IT Control & Systems Engineering Economics, Econometrics & Finance Energy Engineering Mathematics Mechanical Engineering Physics Transportation

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION Dewi, Komang Nonik Afsari; Lesmana, Donny Citra; Budiarti, Retno
BAREKENG: Jurnal Ilmu Matematika dan Terapan Vol 16 No 4 (2022): BAREKENG: Journal of Mathematics and Its Applications
Publisher : PATTIMURA UNIVERSITY

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (444.026 KB) | DOI: 10.30598/barekengvol16iss4pp1365-1372

Abstract

Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method. The research has discussed about pricing of the lookback floating strike option using the Monte Carlo moment matching method. The monthly stock price of PT TELKOM from 2004 to 2021 that used in this research. The results obtained by adding variance reduction moment matching in Monte Carlo method, which produces a relatively had smaller error when compared to the relative error of the standard Monte Carlo method. The orders of convergence from Monte Carlo method with variance reduction moment matching for call and put option are about 1.1 and 1.4. The conclusion that addition of the moment matching can increase the efficiency of the Monte Carlo method in determining the price of the lookback floating strike option.
Co-Authors Donny Citra Lesmana Retno Budiarti