@inproceedings{58d8018911ff4297af5cd878fbfa0e76,

title = "Implementation of dimension reduction Monte Carlo method to determine option price under six-factor cross currency model",

abstract = "Option pricing determination is important in order to increase profit for investment. In this paper, the dimension reduction Monte Carlo method is implemented to determine put and call European option pricing under a six-factor cross currency model. A six-factor cross currency model is a high-dimensional model which is usually solved using Monte Carlo. However, Monte Carlo requires huge numbers of simulations. This paper uses the dimension reduction Monte Carlo method to reduce the dimension of six-factor cross currency from 6 to 1. By this method, only the factor that is conditioned on is needed to be approximated, that is the variance of spot foreign exchange and its value is approximated using the Milstein method.",

keywords = "dimension reduction Monte Carlo method, Milstein method, option price, Six-factor cross currency model",

author = "N. Jennifer and Handari, {B. D.} and Hertono, {G. F.}",

note = "Publisher Copyright: {\textcopyright} 2020 Author(s).; 5th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2019 ; Conference date: 09-07-2019 Through 10-07-2019",

year = "2020",

month = jun,

day = "1",

doi = "10.1063/5.0008152",

language = "English",

series = "AIP Conference Proceedings",

publisher = "American Institute of Physics Inc.",

editor = "Terry Mart and Djoko Triyono and Ivandini, {Tribidasari Anggraningrum}",

booktitle = "Proceedings of the 5th International Symposium on Current Progress in Mathematics and Sciences, ISCPMS 2019",

address = "United States",

}