Penentuan Harga Opsi Asia dengan Underlying Asset Kopi Arabika Menggunakan Metode Simulasi Monte Carlo dan Teknik Control Variate-Submit Jurnal

Sembiring, Brema (2025) Penentuan Harga Opsi Asia dengan Underlying Asset Kopi Arabika Menggunakan Metode Simulasi Monte Carlo dan Teknik Control Variate-Submit Jurnal. Bachelor thesis, Institut Teknologi Kalimantan.

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Abstract

Ketidakpastian di pasar global, terutama dalam fluktuasi harga komoditas seperti kopi arabika, menyebabkan pelaku pasar memerlukan manajemen keuangan yang baik dan efesien untuk mengelola risiko. Penelitian ini mengkaji penerapan Opsi Asia sebagai alat manajemen risiko yang menawarkan fleksibilitas dalam menghadapi volatilitas harga. Fluktuasi yang signifikan pada harga kopi arabika akibat faktor eksternal menjadikan penerapan strategi hedging dengan Opsi Asia sangat penting. Penelitian ini menggunakan metode simulasi Monte Carlo dengan teknik Control Variate untuk menentukan harga Opsi Asia dengan waktu jatuh tempo dan strike price yang bervariasi. Hasil penelitian menunjukkan bahwa harga opsi call Asia menurun seiring kenaikan strike price akibat berkurangnya peluang posisi in-the-money. Sebaliknya, harga opsi put Asia meningkat karena potensi keuntungan saat harga aset di bawah strike price menjadi lebih besar. Harga opsi call dan put mengalami kenaikan harga seiring bertambahnya waktu jatuh tempo, sesuai dengan teori opsi yang menyatakan nilai waktu berpengaruh positif terhadap harga opsi. Penentuan harga Opsi Asia menggunakan Monte Carlo standard memerlukan 90.000 iterasi intuk mencapai Standard Error (SE) mendekati nol, sementara dengan teknik Control Variate, hanya diperlukan 1200 iterasi untuk hasil yang sama.

Item Type:	Thesis (Bachelor)
Subjects:	Q Science > Q Science (General)
Divisions:	Jurusan Matematika dan Teknologi Informasi > Ilmu Aktuaria
Depositing User:	Brema Brem
Date Deposited:	11 Jul 2025 05:40
Last Modified:	11 Jul 2025 05:40
URI:	http://repository.itk.ac.id/id/eprint/23880

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