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@InProceedings{Chidambaran:2003:WSC, author = "N. K. Chidambaran", title = "Genetic programming with Monte Carlo simulation for option pricing", booktitle = "Proceedings of the 2003 Winter Simulation Conference", year = "2003", editor = "S. Chick and P. J. Sanchez and D. Ferrin and D. J. Morrice", volume = "1", pages = "285--292", address = "New Orleans, USA", month = "7-10 " # dec, publisher = "IEEE", keywords = "genetic algorithms, genetic programming", ISBN = "0-7803-8132-7", URL = "http://www.informs-sim.org/wsc03papers/035.pdf", size = "8 pages", abstract = "I examine the role of programming parameters in determining the accuracy of genetic programming for option pricing. I use Monte Carlo simulations to generate stock and option price data needed to develop a genetic option pricing program. I simulate data for two different stock price processes - a geometric Brownian process and a jump-diffusion process. In the jump-diffusion setting, I seed the genetic program with the Black-Scholes equation as a starting approximation. I find that population size, fitness criteria, and the ability to seed the program with known analytical equations, are important determinants of the efficiency of genetic programming.", notes = "details from ieee", }

Genetic Programming entries for N K Chidambaran