MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION
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.
Keywords: Derivative
securities, futures contract, soybeans commodity, Model Mean Reversion, Spot-futures
parity theorem
Penulis: Wirya Sedana, Komang
Dharmawan, Ni Made Asih
Kode Jurnal: jpmatematikadd160166
