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
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;
Conference_Titel :
Intelligent Processing Systems, 1997. ICIPS '97. 1997 IEEE International Conference on
Conference_Location :
Beijing
Print_ISBN :
0-7803-4253-4
DOI :
10.1109/ICIPS.1997.672748
