DocumentCode
323320
Title
Option pricing with genetic algorithms: separating out-of-the-money from in-the-money
Author
Chen, Shu-Heng ; Lee, Woh-Chiang
Author_Institution
Dept. of Econ., Nat. Chengchi Univ., Taipei, Taiwan
Volume
1
fYear
1997
fDate
28-31 Oct 1997
Firstpage
110
Abstract
By separating the case out-of-the-money from the case in-the-money, the article extends the study of S.-H. Chen and W.-C. Lee (1997) in the application of genetic algorithms to option pricing. The boundary condition for the call price in terms of the expiration date is also carefully formulated. With this modification, the GA´s performance is improved in the out-of-the-money case, more precisely, the deep out-of-the-money case
Keywords
costing; economics; genetic algorithms; boundary condition; call price; deep out-of-the-money case; economics; expiration date; genetic algorithms; in-the-money case; option pricing; Boundary conditions; Differential equations; Genetic algorithms; Indium tin oxide; Mathematics; Partial differential equations; Portfolios; Pricing; Stochastic processes; Transforms;
fLanguage
English
Publisher
ieee
Conference_Titel
Intelligent Processing Systems, 1997. ICIPS '97. 1997 IEEE International Conference on
Conference_Location
Beijing
Print_ISBN
0-7803-4253-4
Type
conf
DOI
10.1109/ICIPS.1997.672748
Filename
672748
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