DETERMINING THE VALUE OF DOUBLE BARRIER OPTION USING STANDARD MONTE CARLO, ANTITHETIC VARIATE, AND CONTROL VARIATE METHODS
In this paper, we applied the standard Monte Carlo, antithetic variate, and control variates methods to value the double barrier knock-in option price. The underlying asset used in the calculation of double barrier knock-in option is the share of ANTM from April 1, 2019 until March 1, 2022. The valu...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Pattimura
2023-06-01
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| Series: | Barekeng |
| Subjects: | |
| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/8066 |
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