Option pricing by means of gennetic programming

MaRDI QIDQ4494434zbMATH OpenFDO

Authors Christian Keber

Publication date 1999

zbMATH Keywords

American putanalytic approximationsgenetic algorithmsgenetic programmingoption pricing

Mathematics Subject Classification ID

Approximation methods and heuristics in mathematical programming (90C59) Derivative securities (option pricing, hedging, etc.) (91G20)

Review text

This paper (written in German) uses genetic programming to compute analytic approximations to American put prices in the Black-Scholes model without dividends. The results are compared to prices from the literature [H. Johnson, J. Financial Quant. Anal. 18, 141--148 (1983); R. Geske and H. Johnson, J. Finance 39, 1511--1524 (1984); G. Barone-Adesi and R. E. Whaley, Adv. Futures Options Res. 3, 1--13 (1988); L. W. MacMillan, Adv. Futures Options Res. 1, 119--139 (1986)] as well as ``exact prices computed numerically by finite difference methods, and found to compare favorably in terms of accuracy. It should be noted that the most recent reference on American put prices quoted in the paper dates from 1993. For the entire collection see [Zbl 0937.00057].

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Cited in

(2)

• Geneticly derived approximations for determining the implied volatility
• scientific article; zbMATH DE number 5846589 (Why is no real title available?)

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