Perhitungan harga opsi Asia pada komoditas minyak mentah dengan metode monte carlo

Agustine, Antania (2022) Perhitungan harga opsi Asia pada komoditas minyak mentah dengan metode monte carlo. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Opsi merupakan salah satu jenis instrumen keuangan yang sering digunakan. Salah satu jenis opsi adalah opsi Asia. Opsi Asia memiliki payoff yang didasarkan pada harga rata-rata selama beberapa periode waktu. Opsi Asia merupakan salah satu contoh dari opsi yang path-dependent, dimana harga dari opsi pada saat jatuh tempo bergantung pada jalur rata-rata harga aset selama masa hidup opsi. Dalam perhitungannya opsi Asia dibagi menjadi dua yaitu perhitungan secara geometrik dan aritmatika. Dalam penelitian ini peneliti menghitung harga opsi Asia dengan perhitungan secara aritmatika dan menggunakan metode Monte Carlo. Data yang digunakan pada penelitian ini adalah data harga minyak mentah dari tahun 2019 sampai tahun 2021. Metode Monte Carlo membutuhkan tambahan metode untuk meningkatkan efisiensi dalam perhitungan yaitu Teknik Reduksi Variansi. Dalam penelitian ini Teknik Reduksi Variansi yang digunakan adalah Teknik Variabel Antitetik. Perhitungan harga opsi Asia dengan menggunakan Monte Carlo Teknik Variabel Antitetik memiliki hasil perhitungan yang lebih baik jika dibandingkan dengan perhitungan yang menggunakan Monte Carlo Standar. Hal ini dikarenakan variansi yang direduksi menghasilkan standar eror yang lebih kecil seiring bertambahnya jumlah simulasi. Hal ini menyebabkan jumlah simulasi dengan menggunakan Monte Carlo Teknik Variabel Antitetik lebih kecil dibandingkan dengan jumlah simulasi dengan menggunakan Monte Carlo Standar. Jadi perhitungan dengan Monte Carlo Teknik Variabel Antitetik membuat harga opsi Asia lebih cepat konvergen ke suatu nilai dibandingkan Monte Carlo Standar. / Options are one type of financial instrument that is often used. One type of option is the Asian option. An Asian option has a payoff that is based on the average price over some period of time. An Asian option is an example of a path-dependent option, where the value of the option at expiration depends on the path of the average price of the asset over the life of the option. Asian options can be calculated geometrically and arithmetically. This research calculates the price of Asian options with arithmetic calculations and using the Monte Carlo method. The data used in this research is crude oil price data from 2019 to 2021. The Monte Carlo method requires additional methods to increase efficiency in calculations, namely the Variance Reduction Technique. In this research, the Variance Reduction Technique used was the Antithetic Variable Technique. The calculation of Asian option prices using Monte Carlo Antithetic Variable Techniques has better calculation results when compared to calculations using Standard Monte Carlo. This is because the reduced variance produces a smaller standard error as the number of simulations increases. This causes the number of simulations using Monte Carlo Variance Reduction Techniques to be smaller than the number of simulations using Standard Monte Carlo. So calculations with the Monte Carlo Antithetic Variable make Asian option prices converge to a value faster than Standard Monte Carlo.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Agustine, AntaniaNIM01112180027antania.sutedja@gmail.com
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorMargaretha, HelenaNIDN0312057504helena.margaretha@uph.edu
Thesis advisorJosephine, JosephineUNSPECIFIEDjosephine.fast@uph.edu
Uncontrolled Keywords: opsi Asia; monte carlo; teknik variabel antitetik
Subjects: Q Science > QA Mathematics
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Current > Faculty/School - UPH Karawaci > Faculty of Science and Technology > Mathematics
Depositing User: Users 6053 not found.
Date Deposited: 22 Feb 2022 02:47
Last Modified: 22 Feb 2022 02:47
URI: http://repository.uph.edu/id/eprint/46541

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