Option Pricing by Means of Genetic Programming : How to Find a Closed-form Solution for the Price of European Call Options?
Language: English
Published by VDM Verlag Dr. Müller E.K., 2008
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - 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 minimal errors. This equation is well behaved and can be used in standard spread sheet programs. It offers a wider range of utilization or a higher accuracy, respectively than other existing approaches.…
Seller Inventory # 9783836485203
- Title
- Option Pricing by Means of Genetic Programming : How to Find a Closed-form Solution for the Price of European Call Options?
- Author
- Andreas Heigl
- Publisher
- VDM Verlag Dr. Müller E.K.
- Publication year
- 2008
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3836485206
- ISBN 13
- 9783836485203
- Item weight
- 119 grams
- Dimensions
- 220x150x5 mm
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