Calibration of the VGSSD option pricing model using a quantum-inspired evolutionary algorithm

MaRDI QIDQ3602211zbMATH OpenFDO

Authors

Publication date 12 February 2009

Mathematics Subject Classification ID

Quantum computation (81P68) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(2)

• Non-linear Principal Component Analysis of the Implied Volatility Smile using a Quantum-inspired Evolutionary Algorithm
• Estimation of an EGARCH Volatility Option Pricing Model using a Bacteria Foraging Optimisation Algorithm

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