Abstract:There are several parameters affecting the European call option value such as strike price K, the price of an underlying asset S 0 , volatility σ, time period t and interest rate r. In this paper, the binomial option pricing model is utilised to assess the estimation of a European call option. To explore the effects of input factors, Taguchi method of orthogonal L27 design experiment is carried out using an orthogonal array, analysis of variance (ANOVA), and analysis of mean (ANOM) were used. The purpose of th… Show more
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