Penentuan Harga Jual Opsi Barrier Tipe Eropa Dengan Metode Antithetic Variate Pada Simulasi Monte Carlo

Putri, Luh Hena Terecia Wismawan; Dharmawan, Komang; Sumarjaya, I Wayan

doi:10.24843/mtk.2018.v07.i02.p187

Cited by 6 publications

(6 citation statements)

References 2 publications

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“…Putri, dkk. [16] menunjukkan bahwa teknik antithetic variate dapat mengurangi varians dalam penentuan harga opsi barrier tipe Eropa. Silalahi, dkk.…”

Section: Pendahuluanunclassified

Perbandingan Metode Monte Carlo Antithetic Variate dan Control Variate dalam Penentuan Harga Opsi Barrier Knock-Out

Murwaningtyas,

Haryono,

Uge

et al. 2024

Euler J. Ilm. Mat. Sains dan Teknol.

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This study aims to examine the effectiveness of the Monte Carlo antithetic variate and control variate methods in pricing knock-out barrier options compared to the standard Monte Carlo method. The main problem in barrier option pricing is the high variance of estimates, which can reduce the accuracy and efficiency of results. The standard Monte Carlo method often requires a very large number of simulations to achieve stable results, which is computationally inefficient. To address this issue, this study employs variance reduction techniques, antithetic variate, and control variate. The findings indicate that both methods offer higher accuracy in price estimation compared to the standard Monte Carlo method. Further analysis reveals that the control variate method is more effective for pricing up and out barrier call options and down and out barrier call options, while the antithetic variate method excels in pricing up and out barrier put options and down and out barrier put options. This study underscores the importance of selecting the appropriate method according to the type of option involved to achieve accurate and efficient estimations.

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“…Putri, dkk. [16] menunjukkan bahwa teknik antithetic variate dapat mengurangi varians dalam penentuan harga opsi barrier tipe Eropa. Silalahi, dkk.…”

Section: Pendahuluanunclassified

Perbandingan Metode Monte Carlo Antithetic Variate dan Control Variate dalam Penentuan Harga Opsi Barrier Knock-Out

Murwaningtyas,

Haryono,

Uge

et al. 2024

Euler J. Ilm. Mat. Sains dan Teknol.

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“…Metode Monte Carlo dapat menganalisis, memecahkan dan mengoptimalkan berbagai masalah matematika atau fisik melalui sejumlah besar sampel acak statistik untuk simulasi kejadian stokastik [11]. Metode Monte Carlo didasarkan kepada analogi probabilitas dan pembangkit bilangan acak(Random Number) [12]. Bilangan acak atau bilangan random adalah suatu bilangan yang tidak dapat diprediksi kemunculannya.…”

Section: Pendahuluanunclassified

Prediksi Tingkat Kunjungan Pasien dengan Menggunakan Metode Monte Carlo

Syaputra¹,

Eirlangga²

2022

jidt

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The increase in the number of patient visits that often occur at community health centers / puskesmas has caused some activities in health services to be slightly hampered, disturbed and less than optimal, resulting in some patients not getting comprehensive services and some even waiting too long in queues. The purpose of this study was to provide information to the health center about the prediction of an increase in the number of patient visits that might occur in the future. The data used in this study were patient visit data at the IX Koto Sungai Lasi health center from 2019, 2020, and 2021 to extract the data that was obtained. The method used in this study was the Monte Carlo method. The results of the study can predict patient visit rates in the following years with an average accuracy rate of 91%, in 2020, and 85% in 2021, the results of these predictions can be a reference for the Puskesmas to take action and policies to improve quality of service at the Puskesmas.

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“…Oleh karena itu, untuk mengefisiensikan waktu komputasi, dalam proses penentuan harga opsi saham dengan metode Monte Carlo dapat diterapkan teknik reduksi variansi [3] pada simulasi Monte Carlo ini terdapat dua teknik reduksi variansi yaitu Antithetic Variate dan Control Variate [1]. Antithetic Variate adalah suatu cara untuk mengurangi varians dengan cara mengganti peubah acak dengan peubah acak lainnya yang berkorelasi negatif tanpa meningkatkan ukuran sampel dalam mensimulasi harga opsi [4] sedangkan Control Variate adalah suatu teknik dengan memanfaatkan informasi error dalam menaksir kuantitas yang diketahui untuk mereduksi error dalam penaksiran kuantitas yang tidak diketahui [5].…”

Section: Pendahuluanunclassified

“…maka pembentukan penduga antithetic dapat digunakan untuk membentuk penduga baru yang memiliki varians yang lebih kecil [4].…”

Section: Metode Monte Carlo Pada Opsi Asiaunclassified

Penentuan Harga Beli Opsi Asia Menggunakan Monte Carlo-Antithetic Variate dan Monte Carlo-Control

Zubedi

Achmad

Mahmud

et al. 2022

Euler J. Ilm. Mat. Sains dan Teknol.

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Math is applicable in many fields, including financial computing and discussing options. Options are contracts between two parties. The first part acts as a buyer with non-obligatory rights to buy or sell from the second party, who act as the seller with particular assets of predetermined time and price. This research aims to compare the monte Carlo-Antithetic Variate and monte Carlo-Control Variate in determining the purchase price of the Asian option. This study uses data from the closing price of the daily stock of PT Adhi Karya Tbk from October 1st, 2018 – to November 27th, 2019. The findings revealed varying option prices and different error standards. The Antithetic Variate simulation produces option price Rp. 246,6821 and error standard 0,071495 in 10000000th simulation and the Control Variate simulation produce option price Rp. 183,2139 and error standard 0,09716 in the 5000th simulation. The result was that the Control Variate was considered better at determining Asian option purchase price because of the smaller option and faster error standard in approaching zero.

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Penentuan Harga Jual Opsi Barrier Tipe Eropa Dengan Metode Antithetic Variate Pada Simulasi Monte Carlo

Cited by 6 publications

References 2 publications

Perbandingan Metode Monte Carlo Antithetic Variate dan Control Variate dalam Penentuan Harga Opsi Barrier Knock-Out

Perbandingan Metode Monte Carlo Antithetic Variate dan Control Variate dalam Penentuan Harga Opsi Barrier Knock-Out

Prediksi Tingkat Kunjungan Pasien dengan Menggunakan Metode Monte Carlo

Penentuan Harga Beli Opsi Asia Menggunakan Monte Carlo-Antithetic Variate dan Monte Carlo-Control

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