dc.contributor.author | Salsabila, Ghina | |
dc.date.accessioned | 2021-03-11T15:12:01Z | |
dc.date.available | 2021-03-11T15:12:01Z | |
dc.date.issued | 2020 | |
dc.identifier.uri | http://repository.ipb.ac.id/handle/123456789/106256 | |
dc.description.abstract | Opsi lookback adalah opsi yang payoff-nya bergantung pada harga saham
terbesar atau harga saham terkecil yang dicapai selama masa berlaku opsi. Opsi
lookback dikatakan dengan floating strike price jika nilai dari strike price sebesar
harga saham pada saat jatuh tempo. Nilai hampiran opsi lookback ditentukan
dengan metode Monte Carlo, sedangkan nilai eksak didapat dari nilai simulasi
terbesar yang mampu dihitung oleh komputer. Berdasarkan hasil penghitungan,
nilai galat relatif yang dihasilkan semakin kecil dengan semakin bertambah
banyaknya simulasi yang dilakukan, sehingga metode Monte Carlo untuk
menghitung harga opsi lookback dengan floating strike price konvergen ke nilai
eksaknya. | id |
dc.description.abstract | Lookback option is an option whose payoff depends on the maximum or
minimum of the asset price reached during the option period. The lookback option
is said to be a floating strike price if the value of the strike price is equal to the
stock price at maturity. The value of the lookback option is determined by the
Monte Carlo method, while the exact value is obtained from the largest simulation
value that the computer can compute. Based on the calculation results, the
resulting relative error value get smaller with the increasing number of
simulations performed. Therefore, the Monte Carlo method to calculate the price
of the lookback option with the floating strike price converges to the exact value. | id |
dc.language.iso | id | id |
dc.publisher | IPB University | id |
dc.title | Penentuan Harga Opsi Lookback dengan Floating Strike Price Menggunakan Metode Monte Carlo | id |
dc.title.alternative | Pricing of Lookback Options with Floating Strike Price Using The Monte Carlo Method | id |
dc.type | Undergraduate Thesis | id |
dc.subject.keyword | lookback option | id |
dc.subject.keyword | floating strike price | id |
dc.subject.keyword | Monte Carlo method | id |
dc.subject.keyword | convergent | id |