Option Pricing by Means of Genetic Programming

Language: English

Published by VDM Verlag Dr. Müller E.K. Nov 2013, 2013

3836485206 / 9783836485203

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 68 pp. Englisch.

Seller Inventory # 9783836485203

Title
Option Pricing by Means of Genetic Programming
Author
Andreas Heigl
Publisher
VDM Verlag Dr. Müller E.K. Nov 2013
Publication year
2013
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3836485206
ISBN 13
9783836485203
Item weight
119 grams
Dimensions
220x150x5 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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BuchWeltWeit Ludwig Meier e.K.

Germany