Melola Discovery

← Melola Discovery

Open access Jurnal SINTA 3

IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION

BAREKENG: Jurnal Ilmu Matematika dan Terapan · Vol. 16 No. 4 (2022) · pp. 1365–1372

DOI
10.30598/barekengvol16iss4pp1365-1372
ISSN
2615-3017, 1978-7227
Published
2022-12-15
Publisher
PATTIMURA UNIVERSITY
Language
eng
License
creativecommons.org/licenses/by-sa/4.0

Abstract

Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method. The research has discussed about pricing of the lookback floating strike option using the Monte Carlo moment matching method. The monthly stock price of PT TELKOM from 2004 to 2021 that used in this research. The results obtained by adding variance reduction moment matching in Monte Carlo method, which produces a relatively had smaller error when compared to the relative error of the standard Monte Carlo method. The orders of convergence from Monte Carlo method with variance reduction moment matching for call and put option are about 1.1 and 1.4. The conclusion that addition of the moment matching can increase the efficiency of the Monte Carlo method in determining the price of the lookback floating strike option.

Collaboration network of the authors

23 authors · 39 co-authorship links

Hover or tap a name to highlight its co-authors. Double-click to open the author's page.

  • Affiliation unknown
  • Different organisations
  • Same organisation
  • Affiliation unknown
  • Thicker line = more joint articles · bigger circle = more articles
Show as table
Co-authorOrganisationJoint articles
I Gusti Putu PurnabaAffiliation unknown2
Sanfriska Br SitepuAffiliation unknown2
Romaito Br SilalahiAffiliation unknown2
Vivin Aprilia ManjaruniAffiliation unknown1
Salsabilla RahmahAffiliation unknown1
Siti NurjanahAffiliation unknown1
Reza Tri Ahmad RamadhanAffiliation unknown1
Vanaya Syahira DharmawanAffiliation unknown1
Natallia ChristinaAffiliation unknown1
Ravy Ardian KusumaAffiliation unknown1
Siti Salwa NabilaAffiliation unknown1
Ika Reskiana AdrianiAffiliation unknown1
I Wayan MangkuAffiliation unknown1
Mohamad Khoirun NajibAffiliation unknown1
Alfi KhairiatiAffiliation unknown1
Dicky MardiansyahAffiliation unknown1
Fernando Alonso SitorusAffiliation unknown1
Olivia Putri MustafaAffiliation unknown1
Nabilah Putri Noor FaizahAffiliation unknown1
Nur AgustianiAffiliation unknown1

Affiliations come from OpenAlex; journal OAI-PMH metadata carries none. Authors without an OpenAlex ID are matched by name, which can merge or split people.

Metadata source: OAI-PMH (metadata jurnal) https://ojs3.unpatti.ac.id/index.php/barekeng/oai, first harvested 5 Nov 2026, last seen 5 Nov 2026.
Original metadata (oai_dc) 
<oai_dc:dc xmlns="http://www.openarchives.org/OAI/2.0/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/  http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
	<dc:title xml:lang="en-US">IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION</dc:title>
	<dc:creator>Dewi, Komang Nonik Afsari</dc:creator>
	<dc:creator>Lesmana, Donny Citra</dc:creator>
	<dc:creator>Budiarti, Retno</dc:creator>
	<dc:description xml:lang="en-US">Monte Carlo method was a numerical method that was popular in finance. This method had disadvantages at convergences, so the moment matching was used to improve the efficiency from Monte Carlo method. The research has discussed about pricing of the lookback floating strike option using the Monte Carlo moment matching method. The monthly stock price of PT TELKOM from 2004 to 2021 that used in this research. &amp;nbsp;The results obtained by adding variance reduction moment matching in Monte Carlo method, which produces a relatively had smaller error when compared to the relative error of the standard Monte Carlo method. The orders of convergence from Monte Carlo method with variance reduction moment matching for call and put option are about 1.1 and 1.4. The conclusion that addition of the moment matching can increase the efficiency of the Monte Carlo method in determining the price of the lookback floating strike option.</dc:description>
	<dc:publisher xml:lang="en-US">PATTIMURA UNIVERSITY</dc:publisher>
	<dc:date>2022-12-15</dc:date>
	<dc:type>info:eu-repo/semantics/article</dc:type>
	<dc:type>info:eu-repo/semantics/publishedVersion</dc:type>
	<dc:format>application/pdf</dc:format>
	<dc:identifier>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6490</dc:identifier>
	<dc:identifier>10.30598/barekengvol16iss4pp1365-1372</dc:identifier>
	<dc:source xml:lang="en-US">BAREKENG: Jurnal Ilmu Matematika dan Terapan; Vol 16 No 4 (2022): BAREKENG: Journal of Mathematics and Its Applications; 1365-1372</dc:source>
	<dc:source>2615-3017</dc:source>
	<dc:source>1978-7227</dc:source>
	<dc:source>10.30598/barekengvol16iss4year2022</dc:source>
	<dc:language>eng</dc:language>
	<dc:relation>https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6490/5152</dc:relation>
	<dc:rights xml:lang="en-US">Copyright (c) 2022 Komang Nonik Afsari Dewi, Donny Citra Lesmana, Retno Budiarti</dc:rights>
	<dc:rights xml:lang="en-US">http://creativecommons.org/licenses/by-sa/4.0</dc:rights>
</oai_dc:dc>