Mahmudah, Zunna Lailatul (2017) Perhitungan Harga Kontrak Futures Dengan Stochastic Interest Rate Pada Komoditas Minyak Mentah. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.
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Abstract
Minyak mentah merupakan salah satu komoditas utama bagi perekonomian global. Dalam dua tahun terakhir harga minyak mentah di pasar internasional mengalami fluktuasi dengan kecenderungan meningkat yang dapat menimbulkan risiko bagi para investor. Pengurangan risiko pasar dapat dilakukan dengan menggunakan kontrak derivatif seperti kontrak futures sebagai instrumen lindung nilai. Salah satu model dua faktor yang digunakan untuk menghitung harga kontrak futures adalah model spot price dan interest rate. Untuk menentukan harga kontrak futures dilakukan penyusunan sistem persamaan diferensial parsial kontrak futures dari persamaan diferensial stokastik dan diselesaikan menggunakan metode beda hingga implisit.Kemudian dilakukan analisa grafik dari hasil simulasi. Ketika tingkat suku bunga (interest rate) semakin besar dalam jangka waktu (τ) mengakibatkan pengaruh (fluktuasi) harga kontrak futures yang dihasilkan semakin besar dengan kecenderungan menurun.
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Crude oil is one of the main commodities for the global
economy. In the last two years, the price of crude oil in the international market is experiencing a tendency of increase fluctuations that could pose a risk to investors. Market risk reduction can be done using derivative contracts such as futures contracts as hedging instruments. One of the two factor models used to calculate the futures contract price is the spot price and interest rate model. Partial diferential equation system of futures contract is carried out from stochastic diferential equation and settled using implicit diference method to determine the price of the contract. As interest rates grow larger in the period (τ), the influence (fuctuation)of futures contract price increases with decreasing trend.
| Item Type: | Thesis (Undergraduate) |
|---|---|
| Uncontrolled Keywords: | Komoditas Minyak Mentah, Kontrak Futures, Model Dua Faktor Spot Price dan Interest Rate |
| Subjects: | Q Science > QA Mathematics Q Science > QA Mathematics > QA269 Game theory |
| Divisions: | Faculty of Mathematics and Science > Mathematics > 44201-(S1) Undergraduate Thesis |
| Depositing User: | Zunna Lailatul Mahmudah |
| Date Deposited: | 10 Jul 2017 07:12 |
| Last Modified: | 05 Mar 2019 02:13 |
| URI: | http://repository.its.ac.id/id/eprint/41940 |
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