Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method

Susanti Marito Barus ; Komang Dharmawan ; Luh Putu Ida Harini
International Journal of Applied Mathematics and C... 📅 2025 Vol 2, No 2 🔗 DOI: 10.62951/ijamc.v2i2.188
Abstract
Determining the price of option contracts is a crucial aspect of financial markets, particularly for investors aiming to manage risk and make informed investment decisions. In this study, the price of an Asian call option is calculated using the Monte Carlo Stratified Sampling method based on the stock price data of Tesla, Inc. (TSLA) from January 2021 to December 2023. This method has been proven to reduce variance compared to the Standard Monte Carlo simulation, leading to faster price convergence and more efficient results. The parameters used in the simulation include the initial stock price  (S_0), number of simulations (N), maturity time  (T)dividend = 0, risk-free rate (r), strike price ( K), and volatility
Keywords
Asian Call Option; Standard Monte Carlo Simulation; Stratified Sampling Method
How to Cite

Susanti Marito Barus, et al. (2025). Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method. International Journal of Applied Mathematics and Computing, 2(2). https://doi.org/10.62951/ijamc.v2i2.188

Susanti Marito Barus; Komang Dharmawan; Luh Putu Ida Harini, "Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method," International Journal of Applied Mathematics and Computing, vol. 2, no. 2, 2025.

Susanti Marito Barus; Komang Dharmawan; Luh Putu Ida Harini. "Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method." International Journal of Applied Mathematics and Computing, vol. 2, no. 2, 2025.

Susanti Marito Barus; Komang Dharmawan; Luh Putu Ida Harini. "Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method." International Journal of Applied Mathematics and Computing 2, no. 2 (2025).

Susanti Marito Barus, et al. (2025) 'Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method', International Journal of Applied Mathematics and Computing, 2(2). doi: 10.62951/ijamc.v2i2.188.

Susanti Marito Barus; Komang Dharmawan; Luh Putu Ida Harini. Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method. International Journal of Applied Mathematics and Computing. 2025;2(2).

Artikel Terkait

PERANCANGAN FINANCIAL SAVING CHALLENGE DALAM MENINGKATKAN DAYA TARIK MENABUNG DENGAN MENGGUNAKAN METODE REINFORCEMENT LEARNING

Veri Arinal; Nandang Sutisna; Nova Dahliyanti; Dinda Raudhatul Jannah

Pengembangan Smart Health Monitoring Berbasis IoT dengan Prediksi Serangan Jantung Menggunakan Algoritma SVM (Support Vector Machine)

Untung Surapati; Dadang Iskandar Mulyana; Dedi Gunawan; Anggit Purnama

Deteksi Tingkat Konsentrasi Belajar Melalui Perilaku Siswa di Kelas Menggunakan Convolutional Neural Networks

Yuma Akbar; Sopan Adrianto; Rasiban Rasiban; Nadya Khairunnisa

Analisis Sentimen Publik terhadap Hashtag #kaburajadulu Menggunakan Kombinasi Algoritma Support Vector Machine (SVM) dan Random Forest

Yuma Akbar; Frencis Matheos Sarimolle; Dwi Swasono Rachmad; Muhammad Derry Oktaviandi

Implementasi Pengamanan Data Pribadi dengan QR Code Terenkripsi Advanced Encryption Standard (AES) pada Gambar Digital Metode Discrete Cosine Transform (DCT)

Dadang Iskandar Mulyana; Sopan Adrianto; Sugiyono Sugiyono; Muflikhan Dimas Dwiprayogi

Stabilisasi Pengukuran Jarak Antar Landmark Untuk Gesture Recognition Menggunakan Regresi Polinomial

Dadang Iskandar Mulyana; Tri Wahyudi; Dwi Swasono Rachmad; Muhammad Khalid
Tren Sitasi Jurnal