IMPLEMENTATION OF MONTE CARLO MOMENT MATCHING METHOD FOR PRICING LOOKBACK FLOATING STRIKE OPTION
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 Car...
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| Auteurs principaux: | , , |
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| Format: | Artigo |
| Langue: | Inglês |
| Publié: |
Universitas Pattimura
2022-12-01
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| Collection: | Barekeng |
| Sujets: | |
| Accès en ligne: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/6490 |
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