MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION

WIRYA SEDANA; KOMANG DHARMAWAN; NI MADE ASIH

doi:10.24843/MTK.2016.v05.i04.p137

MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION

WIRYA SEDANA Faculty of Mathematics and Natural Sciences, Udayana University
KOMANG DHARMAWAN Faculty of Mathematics and Natural Sciences, Udayana University
NI MADE ASIH Faculty of Mathematics and Natural Sciences, Udayana University

DOI: https://doi.org/10.24843/MTK.2016.v05.i04.p137

Abstract

It has been discussed in many literatures that commodity prices tend to follow mean reversion model. This means that when there is a jump price in certain time, the price will revert to the mean price in the future. In this research, the method to determine the existence of mean-reversion of soybean price dynamics is discussed. Then, the future contract of soybeans is calculated using mean-reversion simulation and the spot-future parity theorem. Both methods are applied to the closing price of soybeans for the period of 19 September 2011 to 28 April 2016. The results show that the future contract price calculated by Model Mean-Reversion simulation under estimate the future contract price determined by the spot-future parity theorem.

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Author Biographies

WIRYA SEDANA, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

KOMANG DHARMAWAN, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

NI MADE ASIH, Faculty of Mathematics and Natural Sciences, Udayana University

Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Published

2016-11-30

How to Cite

SEDANA, WIRYA; DHARMAWAN, KOMANG; ASIH, NI MADE. MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION. E-Jurnal Matematika, [S.l.], v. 5, n. 4, p. 170-175, nov. 2016. ISSN 2303-1751. Available at: <https://ojs.unud.ac.id/index.php/mtk/article/view/25339>. Date accessed: 26 apr. 2024. doi: https://doi.org/10.24843/MTK.2016.v05.i04.p137.

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