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 |