Solusi Numerik Opsi Curah Hujan di Jawa Timur

Setyorini, Elisabeth Yeyen (2024) Solusi Numerik Opsi Curah Hujan di Jawa Timur. Masters thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Jawa Timur merupakan salah satu provinsi yang mengalami adanya perubahan iklim serta cuaca. Salah satu fenomena yang terjadi ialah tingginya curah hujan. Terjadinya curah hujan tinggi serta berkepanjangan dapat menyebabkan bencana alam, salah satunya banjir. Hal tersebut dapat memberikan dampak kerugian finansial dalam kehidupan manusia, sehingga diperlukan pengelolaan risiko yang tepat. Produk keuangan berbentuk derivatif menjadi jawaban yang tepat bagi permasalahan tersebut. Opsi curah hujan merupakan produk keuangan derivatif yang memberikan lindung nilai terhadap risiko cuaca dengan aset dasar curah hujan. Oleh karena kondisi tersebut, Tesis ini membahas mengenai valuasi opsi berbasis curah hujan. Pada bagian awal dilakukan modifikasi model stokastik curah hujan yang mengikuti proses Ornstein Uhlenbeck dilanjutkan dengan valuasi harga opsi call tipe Eropa untuk kasus curah hujan berlebih (rainfall excess). Valuasi harga opsi dilakukan dengan menyelesaikan persamaan diferensial parsial menggunakan metode beda hingga skema eksplisit. Parameter-parameter di dalamnya, diestimasi berdasarkan data curah hujan di Jawa Timur. Hasil valuasi menunjukkan bahwa harga opsi cenderung mengalami peningkatan seiring dengan bertambahnya kuantitas curah hujan dan indeks curah hujan rainfall excess.
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East Java is one of the provinces experiencing climate and weather changes. One notable phenomenon is the increase in heavy rainfall. The occurrence of continuous and high rainfall can cause natural disasters, one of which is flooding. This can have financial impacts on human life, thus requiring appropriate risk management. Financial products in the form of derivatives are the right answer to this problem. Rainfall options are financial products that provide hedging against weather risks with rainfall as the underlying asset. Due to these circumstances, this Thesis explores the valuation of rainfall-based options. Initially, a stochastic rainfall model following the Ornstein-Uhlenbeck process is modified, followed by the valuation of European call options for the case of rainfall excess. The option pricing is conducted by solving the partial differential equation using the explicit scheme of finite difference method. The parameters involved are estimated based on rainfall data from East Java. The valuation results indicate that the option prices tend to increase with the rise in both the quantity of rainfall and the rainfall excess index.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	Opsi Curah Hujan, Ornstein-Uhlenbeck, Rainfall Excess, Beda Hingga. Rainfall Options, Ornstein-Uhlenbeck, Rainfall Excess, Finite Difference.
Subjects:	H Social Sciences > HG Finance > HG4012 Mathematical models H Social Sciences > HG Finance > HG4028.V3 Valuation. Economic value
Divisions:	Faculty of Science and Data Analytics (SCIENTICS) > Mathematics > 44101-(S2) Master Thesis
Depositing User:	Elisabeth Yeyen Setyorini
Date Deposited:	07 Aug 2024 22:48
Last Modified:	07 Aug 2024 22:48
URI:	http://repository.its.ac.id/id/eprint/111436

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