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Menampilkan 1–3 dari 3 artikel
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 Computing
Vol 2
, No 2
(2025)
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 converg...
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Application of Conditional Monte Carlo Simulation in Determining European Option Contract Pricing (Case Study on Toyota Motor Corporation (TM) Stock)
Fransisca Emmanuella Aryossi
; Komang Dharmawan
; I GN Lanang Wijayakusuma
International Journal of Applied Mathematics and Computing
Vol 2
, No 1
(2024)
When making investment decisions, it is crucial for investors to consider various risks that may arise, both in the short and long term. One method to measure risk is through volatility. Volatility represents a statistical measurement of the degree of price variation over a specific period, expressed as volatility (σ) (Aklimawati & Wahyudi, 2013). This study aims to discuss the pricing of European option contracts using Conditional Monte Carlo simulation and the Black-Scholes method. The dat...
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Mutual Fund Performance Analysis Using Information Ratio, STJ Ratio and Value at Risk
Ni Putu Leony Putri Paramita
; Komang Dharmawan
; I Gusti Ngurah Lanang Wijaya Kusuma
International Journal of Applied Mathematics and Computing
Vol 2
, No 1
(2024)
Measuring performance solely by relying on returns is probably not enough, it is important to consider both returns and risks. Some measurement methods that consider both of these factors are the Sharpe Ratio index, Treynor Ratio, Jensen Alpha, and Information Ratio. Risk analysis using Value at Risk Monte Carlo simulation is also important to determine the potential for extreme risks. The purpose of this study is to provide a good understanding of the performance and risk of mutual fund investm...
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