Determining the Price of Asian Type Call Option Contracts Using the Monte Carlo Stratified Sampling Method
DOI:
https://doi.org/10.62951/ijamc.v2i2.188Keywords:
Asian Call Option, Standard Monte Carlo Simulation, Stratified Sampling MethodAbstract
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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