VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION
The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cau...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Diponegoro
2022-01-01
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| Series: | Media Statistika |
| Subjects: | |
| Online Access: | https://ejournal.undip.ac.id/index.php/media_statistika/article/view/39369 |