Option Pricing by Means of Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.4420

  author =       "Andreas Heigl",
  title =        "Option Pricing by Means of Genetic Programming",
  subtitle =     "How to Find a Closed-form Solution for the Price of
                 European Call Options?",
  publisher =    "VDM Verlag Dr. Mueller",
  year =         "2008",
  month =        "3 " # apr,
  keywords =     "genetic algorithms, genetic programming",
  isbn13 =       "9783836485203",
  URL =          "https://www.amazon.com/Option-Pricing-Means-Genetic-Programming/dp/3836485206/ref=sr_1_2",
  broken =       "http://www.word-power.co.uk/books/option-pricing-by-means-of-genetic-programming-I9783836485203/",
  abstract =     "This master thesis describes how to price options by
                 means of Genetic Programming. The underlying model is
                 the Generalized Autoregressive Conditional
                 Heteroskedastic (GARCH) asset return process. The goal
                 is to find a closed-form solution for the price of
                 European call options where the underlying securities
                 follow a GARCH process. Genetic Programming is used to
                 generate the pricing function from the data. Genetic
                 Programming is a method of producing programs just by
                 defining a problem dependent fitness function. The
                 resulting equation is...",
  notes =        "See also \cite{heigl_05}",
  size =         "68 pages",

Genetic Programming entries for Andreas Heigl