A dynamic hybrid option pricing model by genetic algorithm and black- scholes model

被引：0

作者：

Chen, Yi-Chang ^{[1
]}

Chang, Shan-Lin ^{[1
]}

Wu, Chia-Chun ^{[1
]}

机构：

[1] Department of Information Management, National Pingtung Institute of Commerce, Pingtung, 900, Taiwan

来源：

World Academy of Science, Engineering and Technology | 2010年 / 45卷

关键词：

Electronic trading - Cost estimating - Investments - Commerce - Financial markets;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Unlike this study focused extensively on trading behavior of option market, those researches were just taken their attention to model-driven option pricing. For example, Black-Scholes (B-S) model is one of the most famous option pricing models. However, the arguments of B-S model are previously mentioned by some pricing models reviewing. This paper following suggests the importance of the dynamic character for option pricing, which is also the reason why using the genetic algorithm (GA). Because of its natural selection and species evolution, this study proposed a hybrid model, the Genetic-BS model which combining GA and B-S to estimate the price more accurate. As for the final experiments, the result shows that the output estimated price with lower MAE value than the calculated price by either B-S model or its enhanced one, Gram-Charlier garch (G-C garch) model. Finally, this work would conclude that the Genetic-BS pricing model is exactly practical.

引用

页码：716 / 719

共 50 条

[21] EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL
MACBETH, JD
MERVILLE, LJ
JOURNAL OF FINANCE, 1979, 34 (05): : 1173 - 1186
[22] Incorporation of Fuzzy Logic to the Black-Scholes Model in Exchange Option Pricing
Munoz Palma, Manuel
Aviles Ochoa, Ezequiel
PROCEEDINGS OF THE FOURTH INTERNATIONAL WORKSHOP ON KNOWLEDGE DISCOVERY, KNOWLEDGE MANAGEMENT AND DECISION SUPPORT (EUREKA-2013), 2013, 51 : 79 - 87
[23] An Approximate Formula for Pricing American Option in the Fractional Black-Scholes Model
Lin Hanyan
PROCEEDINGS OF 2017 9TH INTERNATIONAL CONFERENCE ON MEASURING TECHNOLOGY AND MECHATRONICS AUTOMATION (ICMTMA), 2017, : 260 - 262
[24] Adaptive-Wave Alternative for the Black-Scholes Option Pricing Model
Ivancevic, Vladimir G.
COGNITIVE COMPUTATION, 2010, 2 (01) : 17 - 30
[25] Reconstruction of the Stochastic Volatility Based on the Black-Scholes Option Pricing Model
Han, Yi-tong
Jiang, Ming-hui
Dou, Yi-xin
INTERNATIONAL CONFERENCE ON COMPUTER, NETWORK SECURITY AND COMMUNICATION ENGINEERING (CNSCE 2014), 2014, : 573 - 576
[26] A fractional Black-Scholes model with stochastic volatility and European option pricing
He, Xin-Jiang
Lin, Sha
EXPERT SYSTEMS WITH APPLICATIONS, 2021, 178
[27] An empirical assestment of fuzzy Black and Scholes pricing option model in Spanish stock option market
de Andres-Sanchez, Jorge
JOURNAL OF INTELLIGENT & FUZZY SYSTEMS, 2017, 33 (04) : 2509 - 2521
[28] Validation of the Black-Scholes model as a financial call option pricing tool
Mendez, Leonel Antonio Flores
Rivas, Oliver David Morales
Rodriguez, Frank Eduardo Matus
REICE-REVISTA ELECTRONICA DE INVESTIGACION EN CIENCIAS ECONOMICAS, 2024, 12 (23): : 408 - 434
[29] Optimization of Capital Structure by Introduction of Black-Scholes Option Pricing Model
Shu, Chang
2ND INTERNATIONAL CONFERENCE ON HUMANITIES SCIENCE, MANAGEMENT AND EDUCATION TECHNOLOGY (HSMET 2017), 2017, : 170 - 174
[30] New method to option pricing for the general Black-Scholes model - An actuarial approach
Yan, HF
Liu, SY
APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION, 2003, 24 (07) : 826 - 835

← 1 2 3 4 5 →