Option Pricing with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.3973

@InProceedings{chen:1998:opGP,
  author =       "Shu-Heng Chen and Chia-Hsuan Yeh and Woh-Chiang Lee",
  title =        "Option Pricing with Genetic Programming",
  booktitle =    "Genetic Programming 1998: Proceedings of the Third
                 Annual Conference",
  year =         "1998",
  editor =       "John R. Koza and Wolfgang Banzhaf and 
                 Kumar Chellapilla and Kalyanmoy Deb and Marco Dorigo and 
                 David B. Fogel and Max H. Garzon and 
                 David E. Goldberg and Hitoshi Iba and Rick Riolo",
  pages =        "32--37",
  address =      "University of Wisconsin, Madison, Wisconsin, USA",
  publisher_address = "San Francisco, CA, USA",
  month =        "22-25 " # jul,
  publisher =    "Morgan Kaufmann",
  keywords =     "genetic algorithms, genetic programming",
  ISBN =         "1-55860-548-7",
  URL =          "ftp://econo.nccu.edu.tw/AI-ECON/YEH/1998/GP98/gp98.ps",
  URL =          "http://citeseer.ist.psu.edu/cache/papers/cs/15815/ftp:zSzzSzecono.nccu.edu.twzSzAI-ECONzSzYEHzSz1998zSzGP98zSzgp98.pdf/option-pricing-with-genetic.pdf",
  URL =          "http://citeseer.ist.psu.edu/324313.html",
  size =         "7 pages",
  abstract =     "One of the most recent applications of GP to finance
                 is to use genetic programming to derive option pricing
                 formulas. Earlier studies take the Black-Scholes model
                 as the true model and use the artificial data generated
                 by it to train and to test GP. This paper may be
                 regarded as the first attempt to provide some initial
                 evidence of the empirical relevance of GP to option
                 pricing. By using the real data from S&P 500 index
                 options, we train and test two styles of GP, one-stage
                 GP which does not...",
  notes =        "GP-98",
}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh Woh-Chiang Lee

Citations