Jurnal Kajian Matematika dan Aplikasinya
Vol 3, No 2 (2022): July

PENGGUNAAN METODE SIMULASI QUASI MONTE CARLO DENGAN BARISAN QUASI ACAK VAN DER COURPUT DALAM MENENTUKAN HARGA OPSI EROPA

Lita Wulandari Aeli (Universitas Negeri Malang)
Dodi Devianto (Universitas Andalas)
Hazmira Yozza (Universitas Andalas)



Article Info

Publish Date
31 Jul 2022

Abstract

An option is a right by a person or institution to sell or buy an investment instrument at a certain price for a certain period. The point of view for way an option is exercised, there are two types of options known today, namely European options and American options. European options are characterized by option contracts that can only be exercised at the expiration date of the option. American options are indicated by option contracts that can be exercised at any time within the validity of the option contract. There are several methods that can be used in determining option prices, including the Black Scholes method which can be used to calculate the standard price of options. Monte Carlo simulation is a method that gives all possible values of a variable using the average as an estimator of its exact value. Quasi Monte Carlo simulation is an alternative to Monte Carlo simulation which uses quasi-random sequences instead of random numbers. In this article, the quasi-random sequence used is Van der Courput. Calculate option prices with Monte Carlo simulation and Quasi Monte Carlo simulation using MATLAB.

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Journal Info

Abbrev

jkma

Publisher

Subject

Mathematics

Description

The aim of this journal publication is to disseminate research results and new theories that have been achieved in the area of mathematics. Jurnal Kajian Matematika dan Aplikasinya (JKMA) particularly focuses on the main issues in the development of the sciences of mathematics, in the fields of ...