TEKNIK REDUKSI VARIAN DALAM METODE MONTE CARLO UNTUK PENENTUAN HARGA OPSI ASIA

Abstract

This article discusess the determination of pricing Asian call option by applying variance reduction techniques in Monte Carlo method. Control variates techniques can increase the efficiency of Monte Carlo method in term of variance. By applying the variance reduction technique by simulation, the estimated variance obtained is smaller than the estimated variance of simulation without variance reduction.