ACADSTAFF UGM
| Title | : | VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION |
| Author | : |
ABDUL HOYYI (1) Dr. Abdurakhman (2) Prof. Dr.rer.nat. Dedi Rosadi, S.Si., M.Sc. (3) |
| Date | : | 14 2022 |
| Keyword | : | Stochastic process; Black - Scholes - Merton; ? ? ? ?? process ; Variance Gamma; Monte Carlo simulation. Stochastic process; Black - Scholes - Merton; ? ? ? ?? process ; Variance Gamma; Monte Carlo simulation. |
| Abstract | : | T he Option is widely applied in the financial sector. The Black - Sch oles - Merton model i s 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 cause sharp spikes in data, resulting in non normal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the 퐿 푒 ̀ 푣푦 process exponential model. The 퐿 푒 ̀ 푣푦 process has the ability to mode l data that has excess kurtosis and a longer tail (heavy tail) compared to the normal distribution. One of the members of the 퐿 푒 ̀ 푣푦 process is the Variance Gamma (VG) process. The VG process has three parameters which each of them, to control volatility , kurtosis and skewness. In this research, the secondary data samples of options and stocks of two companies were used, namely zoom video communications, Inc. (ZM) and Nokia Corporation (NOK). The price of call options is determined by using closed form equations and Monte Carlo simulation. The Simulation was carried out for various 푁 values until convergent result was obtained. |
| Group of Knowledge | : | Statistik |
| Original Language | : | English |
| Level | : | Nasional |
| Status | : |
Published
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