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

dc.contributor.author	Sya'bantio, M. Febbry
dc.contributor.author	Sirait, Haposan
dc.date.accessioned	2017-01-10T04:07:24Z
dc.date.available	2017-01-10T04:07:24Z
dc.date.issued	2017-01-10
dc.identifier.uri	http://repository.unri.ac.id/xmlui/handle/123456789/8888
dc.description.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.	en_US
dc.description.provenance	Submitted by Rangga Dwijunanda Putra (rangga.madridista@gmail.com) on 2017-01-10T04:07:24Z No. of bitstreams: 1 artikel M. Febbry Sya'bantio.pdf: 71088 bytes, checksum: 5b40384936c4dc9570c641d00f244a70 (MD5)	en
dc.description.provenance	Made available in DSpace on 2017-01-10T04:07:24Z (GMT). No. of bitstreams: 1 artikel M. Febbry Sya'bantio.pdf: 71088 bytes, checksum: 5b40384936c4dc9570c641d00f244a70 (MD5)	en
dc.description.sponsorship	Sirait, Haposan	en_US
dc.language.iso	other	en_US
dc.subject	Monte Carlo Method	en_US
dc.subject	control variates	en_US
dc.subject	random variables	en_US
dc.subject	Asian call option	en_US
dc.title	TEKNIK REDUKSI VARIAN DALAM METODE MONTE CARLO UNTUK PENENTUAN HARGA OPSI ASIA	en_US
dc.type	student Paper Post Degree	en_US