Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator

Today´s derivate pricing base on stochastic models developed in the 70´s. These models base on some unrealistic assumptions. The system WARRANT PRO 1 presented here combines the software agent PISA (Partially Intelligent Software Agent) and the neurosimulator FAUN (Fast Approximation with Universal Neural Networks) to synthesize market price functions. [...]

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Year of publication:	2004-07-01
Authors:	Bartels, Patrick ; Breitner, Michael H.
Institutions:	Universität <Hannover> / Wirtschaftswissenschaftliche Fakultät
Subject:	Software \| Neuronales Netz \| Simulator \| Marktpreis \| Market Prices

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1 Introduction
2 The WARRANT PRO 1 system
3 Option Market Price Functions with the neurosimulator FAUN
4 Web Mining with the Software Agent PISA
4.1 Requirements
4.2 Design and Implementation
5 Test Example: Calculating Option Market Prices fpr DAX Put Options
5.1 Introduction
5.2 Extraction Process with PISA
5.3 Training of Neural Networks With FAUN
5.4 Results
6 Conclusion and Outlook
References

Persistent link: https://www.econbiz.de/10005867634