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Use of Taguchi method for optimisation of process parameters of option pricing model

Use of Taguchi method for optimisation of process parameters of option pricing model Options are generally utilised in the budgetary market and have the planned to bring a goliath rate of return and furthermore; they give various vital choices. In this paper, the optimal combination of options was evaluated for the first time utilising the Taguchi method. The Taguchi method analyses the impacts and relative significance of variables. The binomial option pricing model (BOPM) is used to estimate the values of options. The regression coefficients will give the connection between the elements and the reaction variable. The analysis of variance (ANOVA) and the analysis of mean (ANOM) are used for finding the best optimal combination among the parameters where the values of options are maximum and also it identifies which parameter impacts more on the option value. The Minitab programming is utilised for breaking down outcomes and the ANOVA and ANOM are used for optimising the result. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png International Journal of Services, Economics and Management Inderscience Publishers

Use of Taguchi method for optimisation of process parameters of option pricing model

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Publisher
Inderscience Publishers
Copyright
Copyright © Inderscience Enterprises Ltd
ISSN
1753-0822
eISSN
1753-0830
DOI
10.1504/IJSEM.2020.107789
Publisher site
See Article on Publisher Site

Abstract

Options are generally utilised in the budgetary market and have the planned to bring a goliath rate of return and furthermore; they give various vital choices. In this paper, the optimal combination of options was evaluated for the first time utilising the Taguchi method. The Taguchi method analyses the impacts and relative significance of variables. The binomial option pricing model (BOPM) is used to estimate the values of options. The regression coefficients will give the connection between the elements and the reaction variable. The analysis of variance (ANOVA) and the analysis of mean (ANOM) are used for finding the best optimal combination among the parameters where the values of options are maximum and also it identifies which parameter impacts more on the option value. The Minitab programming is utilised for breaking down outcomes and the ANOVA and ANOM are used for optimising the result.

Journal

International Journal of Services, Economics and ManagementInderscience Publishers

Published: Jan 1, 2020

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