IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION

IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION

Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method. The research has discussed about pricing of the lookback floating strike option using the Monte Car...

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Bibliographic Details
Main Authors: Komang Nonik Afsari Dewi, Donny Citra Lesmana, Retno Budiarti
Format: Article
Language:English
Published: Universitas Pattimura 2022-12-01
Series:Barekeng
Subjects:
lookback option
monte carlo method
variance reduction
moment matching
Online Access:https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6490
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