Nainggolan, Mika Daniel (2025) Valuasi Opsi Cuaca Berbasis Curah Hujan di Provinsi Jawa Timur dengan Menggunakan Metode Monte Carlo. Other thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Perubahan iklim yang mempengaruhi pola cuaca ekstrem di Jawa Timur, menyebabkan meningkatnya risiko bencana alam seperti banjir dan kebakaran hutan. Salah satu upaya mengurangi dampak risiko tersebut adalah dengan instrumen derivatif cuaca, seperti opsi call yang berbasis curah hujan, dapat digunakan sebagai strategi perlindungan finansial. Penelitian ini memodelkan curah hujan menggunakan proses stokastik Ornstein-Uhlenbeck dengan mempertimbangkan komponen musiman. Metode Monte Carlo diterapkan untuk menyimulasikan harga opsi call berbasis indeks rainfall excess. Model stokastik yang digunakan dimodifikasi untuk mencocokkan kondisi curah hujan di Jawa Timur. Data curah hujan bulanan dari lima daerah di Jawa Timur selama periode 2014 hingga 2023 digunakan untuk mengestimasi parameter model, termasuk volatilitas dan kecepatan mean-reversion. Estimasi dilakukan dengan menggunakan metode Ordinary Least Square (OLS) untuk komponen musiman dan metode standar untuk volatilitas dan kecepatan mean-reversion. Setelah model disesuaikan, proses simulasi Monte Carlo dilakukan untuk menilai harga opsi call berdasarkan indeks kelebihan curah hujan (rainfall excess). Hasil simulasi menunjukkan bahwa harga opsi call dipengaruhi oleh beberapa faktor, termasuk durasi kontrak, strike level, suku bunga, dan volatilitas curah hujan. Simulasi dengan banyak lintasan memberikan harga opsi yang konvergen, yang menunjukkan bahwa peningkatan jumlah lintasan meningkatkan akurasi simulasi harga opsi.
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Climate change influencing extreme weather patterns in East Java has led to an increased risk of natural disasters such as floods and forest fires. One approach to mitigating the financial impact of such risks is the use of weather derivatives, such as rainfall-based call options, as a financial protection strategy. This study models rainfall using a stochastic Ornstein-Uhlenbeck process incorporating seasonal components. The Monte Carlo method is applied to simulate the pricing of call options based on the rainfall excess index. The stochastic model is modified to reflect rainfall conditions specific to East Java. Monthly rainfall data from five regions in East Java during the period 2014 to 2023 are used to estimate model parameters, including volatility and mean-reversion speed. Estimation is conducted using the Ordinary Least Squares (OLS) method for the seasonal component and standard methods for volatility and mean-reversion parameters. After model calibration, Monte Carlo simulations are carried out to assess the price of call options based on the rainfall excess index. The simulation results indicate that the option price is influenced by several factors, including contract duration, strike level, interest rate, and rainfall volatility. Simulations with a large number of paths produce convergent option prices, suggesting that increasing the number of paths enhances the accuracy of the option pricing simulation.
| Item Type: | Thesis (Other) |
|---|---|
| Uncontrolled Keywords: | Valuasi opsi cuaca, Curah hujan, Monte Carlo, Ornstein-Uhlenbeck, Derivatif cuaca. Weather option valuation, Rainfall, Monte Carlo, Ornstein-Uhlenbeck, Weather derivatives |
| Subjects: | Q Science > QA Mathematics > QA274.2 Stochastic analysis Q Science > QA Mathematics > QA401 Mathematical models. |
| Divisions: | Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Mika Daniel Nainggolan |
| Date Deposited: | 31 Jul 2025 10:20 |
| Last Modified: | 31 Jul 2025 10:20 |
| URI: | http://repository.its.ac.id/id/eprint/124830 |
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