PENENTUAN HARGA OPSI PUT AMERIKA MENGGUNAKAN PENDEKATAN MONTE CARLO KUADRAT TERKECIL UNTUK ASET TUNGGAL
This thesis discusses the determination of the value of the American put option using Least Squares Monte Carlo simulation for Single Asset. The main problem in option pricing is to find a stopping time that optimizes benefits when exercise the option at that time. Monte Carlo method used to obtain...
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| Format: | Thesis |
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[Yogyakarta] : Universitas Gadjah Mada
2012
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