论文信息 - Option pricing with genetic algorithms: separating out-of-the-money from in-the-money

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

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.

Shu-Heng Chen | Woh-Chiang Lee | Shu-Heng Chen | Woh-Chiang Lee

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