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A value-based approach to option pricing: The case of supply chain options

โœ Scribed by Zhao, Yingxue; Yang, Liu; Cheng, T.C.E.; Ma, Lijun; Shao, Xinjian

Book ID
121675539
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
185 KB
Volume
143
Category
Article
ISSN
0925-5273

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In this paper we apply statistical inference techniques to build neural network models which are able to explain the prices of call options written on the German stock index DAX. By testing for the explanatory power of several variables serving as network inputs, some insight into the pricing proces