CD Skripsi

Teknik Reduksi Varian Dalam Metode Monte Carlo Untuk Penentuan Harga Opsi Asia

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This final project discueses the determination of pricing Asian call option
by applying variance reduction techniques in Monte Carlo methods. Monte
Carlo method is method to approximates the expectation of random variables.
Control variates techniques can increase the efficiency of Monte Carlo method in
term of variance. One variance reduction techniques include control variates.
Implementation shows that simulation result variance of simulation estimasi
become smaller. By applying the variance reduction technique by simulation,
the estimated variance obtained is smaller than the estimated variance of
simulation without variance reduction.
Keywords: Monte Carlo Method, control variates, random variables, Asian
call option
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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

03 03.116 (0051)

Penerbit

Pekanbaru : Universitas Riau - FMIPA - Matematika., 2016

Deskripsi Fisik

xii, 35 hlm.: ill.: 29 cm

Bahasa

Indonesia

ISBN/ISSN

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Klasifikasi

03 03.116 (0051)

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

MATEMATIKA

Info Detail Spesifik

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Pernyataan Tanggungjawab

Dewa

Versi lain/terkait

Lampiran Berkas

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