Option pricing with genetic algorithms: Separating out-of-the-money from in-the-money

被引：0

作者：

Chen, SH ^{[1
]}

Lee, WC ^{[1
]}

机构：

[1] Natl Chengchi Univ, Dept Econ, AI ECON Res Grp, Taipei 11623, Taiwan

来源：

1997 IEEE INTERNATIONAL CONFERENCE ON INTELLIGENT PROCESSING SYSTEMS, VOLS 1 & 2 | 1997年

关键词：

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

By separating the case out-of-the-money from the case in-the-money, this paper extends the study of Chen and 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.

引用

页码：110 / 115

页数：6

共 40 条

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