SIMULASI P-MARTINGALE EMPIRIS DAN APLIKASINYA PADA PENENTUAN HARGA OPSI ASIA; ( EMPIRICAL P-MARTINGALE SIMULATION AND ITS APPLICATION IN ASIAN OPTIONS PRICING )

Setialaksana, Wirawan, Subanar

2015 | Disertasi | FMIPA

This thesis extends Emprical Martingale Simulation (EMS) which is a more efficient method than standard Monte Carlo simulation method in pricing options. EMS can only be conducted in risk neutral framework. In practice, hoewever, it is cumbersome to obtain explicit expression of risk neutral model for a complex model. To alleviate this difficulty, martingale property is imposed to both the change of measure process and the underlying asset prices under P measure. This modification is called Empirical P-Martingale Simulation (EPMS). Case study is conducted under GARCH option pricing framework. The results of the case study indicate that empirical P-Martingale simulation has less RMSE value than Monte Carlo simulation method in Asian options pricing of WTI financial futures. This shows RMSE has more precision than Monte Carlo simulation. The standard deviation of SPME result is smaller than that of Monte Carlo simulation.

Kata Kunci : simulation; GARCH; P-Martingale; Asian options