Calibration of the VGSSDOption Pricing Model using a Quantum-inspired Evolutionary Algorithm

Quantum effects are a natural phenomenon and just like evolution, the brain, or immune systems, can serve as an inspiration for the design of computing algorithms. This chapter illustrates how a quantum-inspired evolutionary algorithm (QIEA) using real number encodings can be constructed and examines the utility of the resulting algorithm on an important real-world problem, namely the calibration of an Option Pricing model. The results from the algorithm are shown to be robust and comparable to those of other algorithms, suggesting that there is useful potential to apply QIEA to this domain.

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