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Title: | Aplikasi Persamaan Black-Scholes untuk Memperkirakan Nilai Tukar Dolar terhadap Rupiah Menggunakan Metode Runge-Kutta |
Other Titles: | Application of the Black-Scholes Equation to estimate the Exchange Rate of the Dollar to Rupiah Using the Runge-Kutta Method |
Authors: | Kartono, Agus Faozan Pangkawati, Wimpi |
Issue Date: | 2021 |
Publisher: | IPB University |
Abstract: | Nilai tukar atau kurs merupakan nilai suatu mata uang negara domestik
terhadap nilai mata uang negara asing lainnya. Nilai tukar mata uang terdapat dua
jenis, yaitu nilai tukar jual dan nilai tukar beli. Perkiraan nilai tukar dolar terhadap
rupiah dapat didekati dengan persamaan Black-Scholes. Tujuan utama penelitian
ini adalah untuk mengetahui prediksi nilai tukar dolar terhadap rupiah dengan
menggunakan persamaan Black-Scholes tersebut. Parameter-parameter yang
terdapat pada persamaan Black-Scholes dianalogikan ke dalam parameter parameter ekonomi yang diasumsikan sebagai faktor-faktor yang mempengaruhi
pergerakan nilai tukar. Faktor-faktor tersebut antara lain: tingkat inflasi, suku bunga,
volatilitas, rata-rata return nilai tukar dan Produk Domestik Bruto (PDB). Hasil
prediksi nilai tukar dolar terhadap rupiah dari persamaan Black-Sholes yang
diselesaikan menggunakan metode runge-kutta orde empat tersebut menghasilkan
nilai Mean Absolute Persentase Error (MAPE) sebesar 1,1% untuk nilai tukar jual
dan 1,1% untuk nilai tukar beli. The exchange rate is the value of a domestic currency to other foreign currencies. There are two types of currency exchange rates, namely the selling exchange rate, and the buying exchange rate. The estimation of the exchange rate of the dollar to rupiah can be approximated by the Black-Scholes equation. The main objective of this study is to determine the prediction of the exchange rate of the dollar to rupiah using the Black-Scholes equation. The parameters contained in the Black-Scholes equation are analogous to economic parameters which are assumed to be factors that influence exchange rate movements. These factors include inflation rates, interest rates, volatility, average exchange rate returns, and Gross Domestic Product (GDP). The prediction results of the dollar exchange rate against the rupiah from the Black-Sholes equation which was solved using the fourth-order Runge Kutta method resulted in a Mean Absolute Percentage Error (MAPE) value of 1.1% for the selling exchange rate and 1.1% for the buying exchange rate. |
URI: | http://repository.ipb.ac.id/handle/123456789/107626 |
Appears in Collections: | UT - Physics |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
Cover, Lembar Pengesahan, Prakata, Daftar Isi.pdf | Cover | 1.53 MB | Adobe PDF | View/Open |
G74170058_Wimpi Pangkawati.pdf Restricted Access | Fullteks | 9.78 MB | Adobe PDF | View/Open |
Lampiran.pdf Restricted Access | Lampiran | 1.53 MB | Adobe PDF | View/Open |
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