Adaptive genetic programming for option pricing

Created by W.Langdon from gp-bibliography.bib Revision:1.4216

  author =       "Zheng Yin and Anthony Brabazon and Conall O'Sullivan",
  title =        "Adaptive genetic programming for option pricing",
  booktitle =    "Late breaking paper at Genetic and Evolutionary
                 Computation Conference {(GECCO'2007)}",
  year =         "2007",
  month =        "7-11 " # jul,
  editor =       "Peter A. N. Bosman",
  isbn13 =       "978-1-59593-698-1",
  pages =        "2588--2594",
  address =      "London, United Kingdom",
  keywords =     "genetic algorithms, genetic programming, economics,
                 options pricing",
  URL =          "",
  URL =          "",
  DOI =          "doi:10.1145/1274000.1274029",
  publisher =    "ACM Press",
  publisher_address = "New York, NY, USA",
  bibsource =    "OAI-PMH server at",
  contributor =  "CiteSeerX",
  language =     "en",
  oai =          "oai:CiteSeerXPSU:",
  abstract =     "Genetic Programming (GP) is an automated computational
                 programming methodology, inspired by the workings of
                 natural evolution techniques. It has been applied to
                 solve complex problems in multiple domains including
                 finance. This paper illustrates the application of an
                 adaptive form of GP, where the probability of crossover
                 and mutation is adapted dynamically during the GP run,
                 to the important real-world problem of options pricing.
                 The tests are carried out using market option price
                 data and the results illustrate that the new method
                 yields better results than are obtained from GP with
                 fixed crossover and mutation rates. The developed
                 method has potential for implementation across a range
                 of dynamic problem environments. Categories and Subject
  notes =        "Distributed on CD-ROM at GECCO-2007 ACM Order No.

Genetic Programming entries for Zheng Yin Anthony Brabazon Conall O'Sullivan