Analisis Hasil Numerik Nilai Heating Degree-Day Options

Margono, Aditya Barulhadi (2018) Analisis Hasil Numerik Nilai Heating Degree-Day Options. Undergraduate thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Kontrak derivatif cuaca dibuat untuk memungkinkan perusahaan melakukan lindung nilai akibat kondisi cuaca. Namun, penghitungan untuk nilai kontrak derivatif cuaca sangat kompleks, karena aset yang mendasarinya adalah suhu yang tidak memiliki harga untuk dinegosiasikan. Salah satu kontrak derivatif cuaca yang paling sering digunakan adalah kontrak cuaca yang menggunakan indeks Heating Degree-Day. Pada Tugas Akhir ini, dilakukan analisis hasil numerik European Heating Degree-Day(HDD) Option. Untuk menetukan nilai European Heating Degree-Day(HDD) Option, dilakukan pembentukan persamaan diferensial parsial European Heating Degree-Day(HDD) Option. Penyelesaian dilakukan secara numerik dengan metode beda hingga implisit yang kemudian dilakukan simulasi dan analisa grafik. Ketika diberikan suhu minimal yang semakin kecil daripada suhu referensi didapat nilai European Heating Degree-Day(HDD) Option yang semakin besar. Pada penelitian diberikan nilai Strike Level bernilai 50, Suhu minimal 2C dan Suhu maksimal 18C dihasilkan nilai European Heating Degree-Day(HDD) Option sebesar £2200.============= Weather derivatives were created to enable companies to hedge against climate risk. However, the valuation of weather derivatives contract is complex, since the underlying asset is a temperature that has no negotiable price. One of the most commonly used weather derivatives contracts is the weather contract that uses the Heating Degree-Day index. The study of numerical valuation of European Heating Degree-Days(HDD) Option are described in this final project. Partial differential equation system of European Heating Degree-Days(HDD) Option is solved using implicit difference method to determine the value. When given a minimum temperature lower than the temperature reference the value of European Heating Degree Day (HDD) options are obtained is increasingly large. In the research given the value of Strike Level 50, Minimum temperature -2C and Maximum temperature 18C produced value of European Heating Degree-Day (HDD) Option equal to £2200.

Item Type: Thesis (Undergraduate)
Uncontrolled Keywords: Derivatif Cuaca; European Heating Degree-Day Options; Metode Beda Hingga Implisit; Weather Derivatives; European Heating Degree-day Option; Implicit Finite Differece
Subjects: Q Science > QA Mathematics > QA276 Mathematical statistics
Divisions: Faculty of Mathematics and Science > Mathematics > (S1) Undergraduate Theses
Depositing User: Margono Aditya Barulhadi
Date Deposited: 01 Feb 2018 04:22
Last Modified: 01 Feb 2018 04:22
URI: http://repository.its.ac.id/id/eprint/51049

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