سال انتشار: ۱۳۸۷

محل انتشار: دومین کنگره مشترک سیستم های فازی و سیستم های هوشمند

تعداد صفحات: ۵

نویسنده(ها):

Mohammad Alami Bayat – Swiss Finance Institute, Lugano,Switzerland
Vali Derhami – Yazd University, Yazd, Iran

چکیده:

In this paper several models including two stunning neural networks models in approximation of prices of call options on futures has been investigated.Using five inputs including risk free rate, futures price, strike price, and time to maturity and volatility we could compute call options prices far better thanconventional methods. Variety of new methods has been tested. Our tests on data at its best resulted in a successful MLP which computes call prices more efficiently