Solusi Numerik Untuk Model Valuasi Opsi Suhu Di Jawa Timur

Rosdianawati, Rista (2024) Solusi Numerik Untuk Model Valuasi Opsi Suhu Di Jawa Timur. Masters thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Produk derivatif adalah instrumen keuangan yang nilainya bergantung pada aset yang mendasarinya (underlying asset), salah satunya yaitu opsi. Opsi suhu merupakan produk derivatif dengan underlying asset berupa suhu. Salah satu fungsi opsi suhu adalah sebagai alat lindung nilai dari risiko yang disebabkan oleh perubahan suhu. Pada Tesis ini dilakukan valuasi opsi suhu yang difokuskan pada opsi put HDD (Heating Degree Day) dan CDD (Cooling Degree Day) untuk wilayah Jawa Timur. Valuasi opsi suhu diawali dengan menyusun suatu model suhu yang menggambarkan fluktuasi suhu. Penyusunan model suhu di wilayah Jawa Timur dilakukan dengan memodifikasi model suhu berdasarkan proses Ornstein-Uhlenbeck yang disertai pengembalian rata-rata (mean reverting). Modifikasi dilakukan dengan suhu yang telah diperoleh selanjutnya digunakan untuk menentukan model valuasi opsi. Model valuasi opsi diperoleh berdasarkan pendiskritan PDP menggunakan metode beda hingga eksplisit dengan skema downwind dan Lax-Wendroff. Proses simulasi valuasi harga opsi dibantu dengan software Matlab. Harga opsi put CDD lebih tinggi daripada opsi put HDD. Harga opsi put HDD meningkat seiring dengan meningkatnya suhu, sementara harga opsi put CDD menurun seiring dengan meningkatnya suhu. Berdasarkan indeks suhu baik HDD maupun CDD, diperoleh bahwa harga opsi menurun seiring dengan meningkatnya indeks suhu. Berdasarkan masa kontrak, diperoleh bahwa harga opsi menurun seiring dengan meningkatnya masa kontrak. Pemberian nilai strike price yang berbeda juga memengaruhi harga opsi, diperoleh bahwa harga opsi meningkat seiring dengan meningkatnya nilai strike price. Berdasarkan nilai risk-free interest diperoleh bahwa harga opsi menurun seiring dengan meningkatnya nilai risk-free interest. Berdasarkan nilai volatilitas, diperoleh bahwa harga opsi meningkat seiring dengan meningkatnya volatilitas.
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Derivative product is financial instrument which the value depends on the underlying asset, the popular one is option. Temperature option is derivative product with temperature as the underlying asset. Temperature option can be used as a hedging tool against risks caused by temperature changes. This thesis focuses on valuing temperature options, specifically put HDD (Heating Degree Day) and CDD (Cooling Degree Day) options, for the East Java region. The valuation of temperature options begins with creating a temperature model that depicts temperature fluctuations. The temperature model for the East Java region is developed by modifying a temperature model based on the Ornstein Uhlenbeck process with mean reversion. Modifications are made by estimating parameters according to the temperature conditions in East Java. The obatined temperature model is then used to determine the option valuation model. The option valuation model is derived from discretizing the PDE using explicit finite difference method with downwind and Lax-Wendroff Schemes. The option price valuation simulation process is assisted by Matlab software. CDD put option price is higher than HDD put option for East Java area. HDD put option price increases as the temperature increases, while CDD put option price decreases as the temperature increases. Based on the temperature index for both HDD and CDD, it is found that the put option price decreases as the temperature index increases. Regarding the contract term, the option price decreases as the contract term increases. Different strike prices also effect the option price, it is found that the option price increases with higher strike prices. Based on the risk-free interest rate, the option price decreases as the risk-free interest rate increases. Based on volatility, it is found that the option price increases with higher volatility.

Item Type:	Thesis (Masters)
Uncontrolled Keywords:	Model Valuasi, Opsi Suhu, Ornstein-Uhlenbeck Ornstein-Uhlenbeck, Pricing Model, Temperature Option.
Subjects:	H Social Sciences > HG Finance > HG4012 Mathematical models
Divisions:	Faculty of Mathematics, Computation, and Data Science > Mathematics > 44101-(S2) Master Thesis
Depositing User:	Rista Rosdianawati
Date Deposited:	08 Aug 2024 06:06
Last Modified:	08 Aug 2024 06:06
URI:	http://repository.its.ac.id/id/eprint/113302

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