PENENTUAN HARGA OPSI ARITMATIK ASIA METODE TURNBULL DAN WAKEMAN; PRICING ARITHMETIC ASIAN OPTIONS TURNBULL AND WAKEMAN METHOD

Betari, Prastyani, Gunardi

2016 | Skripsi | FMIPA

Pricing the arithmetic Asian options are difficult to price analytically because the distribution of the density function is unknown. However, various studies have attempted to solve this problem. Turnbull and Wakeman (1991) approximate the unknown density function using lognormal distribution by matching the first two moments and using a generelized Edgeworth series expansion which also takes differences in skewness and kurtosis into account. This final assignment investigates how accurate the Turnbull and Wakeman approach is by comparing values of arithmetic Asian options from Turnbull and Wakeman’s analytic solution approach with Monte Carlo anthitetic variates. The advantage of this Turnbull and Wakeman method is the quick way to price arithmetic Asia options.

Kata Kunci : Asian options; Arithmetic; Edgeworth; Monte Carlo anthitetic variates