Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method

Determining the price of option contracts is a crucial aspect of financial markets, particularly for investors aiming to manage risk and make informed investment decisions. In this study, the price of an Asian call option is calculated using the Monte Carlo Stratified Sampling method based on the stock price data of Tesla, Inc. (TSLA) from January 2021 to December 2023. This method has been proven to reduce variance compared to the Standard Monte Carlo simulation, leading to faster price convergence and more efficient results. The parameters used in the simulation include the initial stock price (S_0), number of simulations (N), maturity time (T)dividend = 0, risk-free rate (r), strike price ( K), and volatility

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Journal
International Journal of Applied Mathematics and Computing.
Published
2025-03-20
DOI
https://doi.org/10.62951/ijamc.v2i2.188
Primary Topic
Stock Market Forecasting Methods
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article

Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method

LUH PUTU IDA HARINI, KOMANG DHARMAWAN, Susanti Marito Barus
International Journal of Applied Mathematics and Computing.
Stock Market Forecasting Methods
article

Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method

LUH PUTU IDA HARINI, KOMANG DHARMAWAN, Susanti Marito Barus
article en

Abstract

Determining the price of option contracts is a crucial aspect of financial markets, particularly for investors aiming to manage risk and make informed investment decisions. In this study, the price of an Asian call option is calculated using the Monte Carlo Stratified Sampling method based on the stock price data of Tesla, Inc. (TSLA) from January 2021 to December 2023. This method has been proven to reduce variance compared to the Standard Monte Carlo simulation, leading to faster price convergence and more efficient results. The parameters used in the simulation include the initial stock price (S_0), number of simulations (N), maturity time (T)dividend = 0, risk-free rate (r), strike price ( K), and volatility

International Journal of Applied Mathematics and Computing.Vol. 2(2)
Udayana University (ID)
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Stock Market Forecasting Methods
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Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method — LUH PUTU IDA HARINI, KOMANG DHARMAWAN, et al. · International Journal of Applied Mathematics and Computing. (2025) | TGRS Research Map | TGRS