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标题：VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION
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作者：Abdul Hoyyi ; Abdurakhman Abdurakhman ; Dedi Rosadi 等
期刊名称：MEDIA STATISTIKA
印刷版ISSN：1979-3693
电子版ISSN：2477-0647
出版年度：2022
卷号：14
期号：2
页码：183-193
DOI：10.14710/medstat.14.2.183-193
语种：English
出版社：MEDIA STATISTIKA
摘要：The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the process exponential model. The process has the ability to model data that has excess kurtosis and a longer tail (heavy tail) compared to the normal distribution. One of the members of the process is the Variance Gamma (VG) process. The VG process has three parameters which each of them, to control volatility, kurtosis and skewness. In this research, the secondary data samples of options and stocks of two companies were used, namely zoom video communications, Inc. (ZM) and Nokia Corporation (NOK). The price of call options is determined by using closed form equations and Monte Carlo simulation. The Simulation was carried out for various values until convergent result was obtained.