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This research aims to determine the use of the Monte Carlo-Moment Matching (MC-MM) Method by the European type cash-or-nothing option based on the price of rice commodity in Indonesia. Future rice prices as the underlying assets were estimated by randomly giving out many numbers, generated, and spread to normal standards. Also, the Monte Carlo method added a moment matching technique as a method of variance reduction to improve simulation efficiency. Furthermore, the calculation results of the method with relative errors were checked for accuracy. The result shows that the smaller the relative error, the more accurate the numerical method. Furthermore, the several simulation experiments show that the more simulations carried out, the more converging the results obtained to the analytical solution in the Black-Scholes Model. |
