It's early now for me to think about the undergraduate thesis. I do not have a supervisor now. At my college, students can write about whatever he or she wants in the thesis. I'll apply to a DPhil program after finishing the undergraduate program. I am thinking of doing literature review of a topic in Econometrics (current degree program). Implementation of the methods will also be conducted by simulation. Does it count as research experience? Do professors expect undergrad students to produce something new in their theses?
Your question depends very much on the educational system that you are in. In the US, professors do not expect undergraduate students to produce something new in their thesis unless it is somewhat straight-forward (such as simulating a new, simple network protocol or finding linear regression relations in a given dataset). When undergraduate research is made mandatory, it is almost always under the direction of a faculty member who is supposed to mentor the undergraduate student. This person will be able to say whether a literature review is sufficient. In general, literature review covers a large spectrum from the almost trivial to something demanding a deep understanding of the topic. Sometimes a literature review might count as a research experience though it is not what people understand under this term. You say that you do not have a supervisor. You might want to wait until you have one or if you want a head-start and risk being told off, ask some students who went before you what they did. Often, colleges are proud of their students achievements and will highlight them as posters or publish them on the web.
In short: Your question seems to be a simple question but the answer is really: "It depends." Luckily, there should be people around who will guide you. If you need to know now, then see what your colleagues did.