Valuation of energy derivatives using intelligent methods

In this paper several models including two stunning neural networks models in approximation of prices of call options on futures has been investigated.Using five inputs including risk free rate, futures price, strike price, and time to maturity and volatility we could compute call options prices far better thanconventional methods. Variety of new methods has been tested. Our tests on data at its best resulted in a successful MLP which computes call prices more efficiently

کلیدواژه ها:

Artificial neural networks ، crude oil markets ، options and futures contracts ، volatility smile