1 Introduction Our paper focuses on foreign exchange (FX) futures and options on this future contract (also called currency future options). An FX future (or forward) is a binding contract to exchange one currency for another at a specified date in the future. Currency options are often traded OTC rather than on exchanges. Interbank deals are common. There are two basic types of options. A call option gives its owner the right to buy the underlying at or up to a certain date at a specified price. A put option gives its owner the right to sell the underlying at or up to a certain date at a specified price. Derivatives on the OTC market have no standardized contract specifications and are designed manually and tailored to customers' needs [2]. Generally, derivative experts use information systems, in particular DSS, to determine the value of derivatives. Typically, a derivate trader must be able to come up with a price within a few minutes. Otherwise the customer will look elsewhere. The decision to buy or sell a currency option and at what price therefore often happens very quickly. Our research question is: "How can a Financial Decision Support System (FDSS) help to approximate options' market prices, and determine suitable trading times for options in the short term?" Decision making is the process of developing and analyzing alternatives, and then selecting from the available alternatives. The paper focuses on finding the optimal time to buy or sell an option. We develop an FDSS based on artificial neural networks [5] that indicates the optimal time to trade. Some models primarily address perceived weaknesses of models that are in use today by (financial) decision makers [1, 3, 4, 6]. Our approach aims to extend existing models by not only calculating the fair option price, but also determining the optimal time at which this option should be bought or sold.
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