Aini, Fahmi Nur (2017) Implementasi Model Gabillon Dalam Perhitungan Harga Kontrak Futures Komoditas Minyak Mentah. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Fluktuasi harga minyak mentah menjadi salah satu risiko dalam perdagangan minyak mentah dunia. Untuk itu diperlukan suatu perlindungan nilai yang dapat diakomodasikan dengan suatu instrumen yang disebut kontrak futures. Harga kontrak futures ditentukan terlebih dahulu dan tergantung harga pasar pada saat itu. Salah satu model yang digunakan dalam menentukan harga kontrak futures adalah model Gabillon. Untuk menentukan harga kontrak futures dilakukan penyusunan sistem persamaan diferensial untuk kontrak futures dengan persamaan diferensial model Gabillon. Dengan bentuk yang sederhana, maka penyelesaian analitik dari persamaan diferensial untuk harga kontrak futures dapat ditemukan.
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Crude oil's price fluctuation is one of the risk in the
trade of crude oil in the world. For it is necessary a protection of value that can be accommodated with an
instrument called a futures contract. The price of the futures contract is determined in advance and depending on the market price at the time. One of the models that are used in determining the price of the futures contract is Gabillon model. To determine the price of the futures contract is making di�erential equations system of the futures contract with di�fferential equation of Gabillon model. With a simple form, then analytical solution of diff�erential equation for the price of the futures contract can be found.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Model Gabillon, Kontrak Futures, Komoditas, Minyak Mentah |
| Subjects: | Q Science Q Science > Q Science (General) Q Science > QA Mathematics |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | - FAHMI NUR AINI |
| Date Deposited: | 24 Mar 2017 03:11 |
| Last Modified: | 05 Mar 2019 02:08 |
| URI: | http://repository.its.ac.id/id/eprint/2017 |
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