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

Authors: Amir Ahmad Dar; N. Anuradha

Addresses: Department of Mathematics and Actuarial Science, B.S. Abdur Rahman Crescent Institute of Science and Technology, Chennai, India ' Department of Management Studies, B.S. Abdur Rahman Crescent Institute of Science and Technology, Chennai, India

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.

Keywords: binomial option pricing model; BOPM; Taguchi method; regression model; analysis of mean; ANOM; analysis of variance.

DOI: 10.1504/IJSEM.2020.107789

International Journal of Services, Economics and Management, 2020 Vol.11 No.1, pp.1 - 20

Received: 12 Mar 2019
Accepted: 28 Oct 2019

Published online: 11 Jun 2020 *

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