Article Per Year (5 Year)
p-Index From 2020 - 2025
0
P-Index
This Author published in this journals
All Journal E-Jurnal Matematika
WIRYA SEDANA
Faculty of Mathematics and Natural Sciences, Udayana University
Mathematics

Published : 1 Documents Claim Missing Document
Claim Missing Document
Check
Articles

Found 1 Documents
Search

 1 
MENENTUKAN HARGA KONTRAK BERJANGKA KOMODITAS KEDELAI MENGGUNAKAN MODEL MEAN REVERSION WIRYA SEDANA; KOMANG DHARMAWAN; NI MADE ASIH
E-Jurnal Matematika Vol 5 No 4 (2016)
Publisher : Mathematics Department, Faculty of Mathematics and Natural Sciences, Udayana University

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 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.
Co-Authors Komang Dharmawan Ni Made Asih