Simulasi Harga Opsi Call Asia Dengan Suku Bunga Tidak Konstan

Isti Kamila, Ani Andriyati

Abstract


In the financial world, the thing that is interesting for investors today is to predict a reasonable Asian Call Option price that does not cause the seller or buyer of the option to experience losses. The constant interest assumption is more often used by previous research as an assumption in predicting the price of Asian Call Options. This is not in line with the fact that interest rate movements are not constant. The use of incorrect assumptions will affect the accuracy of prediction results. In overcoming this problem, this study aims to predict the price of Asian Call Options with non-constant interest rates using Monte Carlo simulation. The non-constant interest rate model used is Cox-Ingersoll-Ross (CIR) because this model produces positive interest rates. This study begins with a screening of Normally distributed interest rate data. The data is used to determine the parameters of the CIR interest rate model. Next, an Asian Call Option price simulation with non-constant interest rates was carried out and ended by analyzing a graph of the Asian Call Option price simulation results with non-constant interest rates.  The simulated price result of the Asian Call Option with non-constant interest rates converged at the value of $170.82. Based on the price chart of Asian Call Options with different strike prices, the larger the strike price causes, the larger the Asian Call Option price, which corresponds to the price characteristics of the Asian Call Option. In addition, by extending the maturity period, the price of Asian Call Options with non-constant interest rates is greater according to the price characteristics of Asian Call Options. 


Keywords


Asian Call Option; Non-constant Interest Rate; Monte Carlo

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DOI: https://doi.org/10.34312/euler.v11i1.20061

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