Option Pricing by Means of Genetic Programming, Fachbücher
This master thesis describes how to price options by means of Genetic Programming. The underlying model is the Generalized Au... Mehr erfahren
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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 problemdependent fitness function. The resulting equation is found via a heuristic algorithm inspired by natural evolution. To ensure that a good configuration setting is used, preliminary testing of many different settings has been done, suggesting that simpler configurations are more successful in this environment. The resulting equation can be used to calculate the price of an option in the given range with min.
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Lieferzeit:2-4 Werktage
Marke:VDM