PRICING EUROPEAN BASKET OPTION USING THE STANDARD MONTE CARLO AND ANTITHETIC VARIATES

  • Sanfriska Br Sitepu Department of Mathematics, Faculty of Mathematics and Natural Science, IPB University, Indonesia
  • Donny Citra Lesmana Department of Mathematics, Faculty of Mathematics and Natural Science, IPB University, Indonesia
  • Retno Budiarti Department of Mathematics, Faculty of Mathematics and Natural Science, IPB University, Indonesia
Keywords: Antithetic Variates, Basket option, Monte Carlo

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References

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Published
2023-06-11
How to Cite
[1]
S. Sitepu, D. Lesmana, and R. Budiarti, “PRICING EUROPEAN BASKET OPTION USING THE STANDARD MONTE CARLO AND ANTITHETIC VARIATES”, BAREKENG: J. Math. & App., vol. 17, no. 2, pp. 1007-1016, Jun. 2023.