Option Pricing via Genetic Programming

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

  author =       "N. K. Chidambaran and Joaquin Triqueros and 
                 Chi-Wen Jevons Lee",
  title =        "Option Pricing via Genetic Programming",
  booktitle =    "Evolutionary Computation in Economics and Finance",
  publisher =    "Physica Verlag",
  year =         "2002",
  editor =       "Shu-Heng Chen",
  volume =       "100",
  series =       "Studies in Fuzziness and Soft Computing",
  chapter =      "20",
  pages =        "383--397",
  month =        "2002",
  keywords =     "genetic algorithms, genetic programming",
  ISBN =         "3-7908-1476-8",
  DOI =          "doi:10.1007/978-3-7908-1784-3_20",
  abstract =     "We propose a methodology of Genetic Programming to
                 approximate the relationship between the option price,
                 its contract terms and the properties of the underlying
                 stock price. An important advantage of the Genetic
                 Programming approach is that we can incorporate
                 currently known formulas, such as the Black-Scholes
                 model, in the search for the best approximation to the
                 true pricing formula. Using Monte Carlo simulations, we
                 show that the Genetic Programming model approximates
                 the true solution better than the Black-Scholes model
                 when stock prices follow a jump-diffusion process. We
                 also show that the Genetic Programming model
                 outperforms various other models when pricing options
                 in the real world. Other advantages of the Genetic
                 Programming approach include its low demand for data,
                 and its computational speed.

                 Published previously in: Computational Finance
                 Proceedings of the Sixth International Conference,
                 Leonard N. Stern School of Business, January 1999. MIT
                 Press, Cambridge, MA",
  notes =        "bron Dec 2012

                 See also \cite{wpa98086}",

Genetic Programming entries for N K Chidambaran Joaquin Triqueros Chi-Wen Jevons Lee