Option pricing with genetic algorithms: A second report

IEEE International Conference on Neural Networks - Conference Proceedings

Volumn 1, Issue , 1997, Pages 21-25

  Chen, Shu Heng ^a   Lee, Woh Chiang ^b  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

^b VAN NUNG INSTITUTE OF TECHNOLOGY   (Taiwan)

Author keywords

[No Author keywords available]

Indexed keywords

ARTIFICIAL NEURAL NET; COMPUTATIONAL FINANCE; FINANCIAL ENGINEERING; FINANCIAL PRODUCTS; GENETIC ALGORITHM (GAS); INTEREST RATES; MACHINE LEARNING TECHNIQUES; OPTION PRICING THEORY;

EARNINGS; GENETIC ALGORITHMS; LEARNING SYSTEMS; NEURAL NETWORKS; RANDOM PROCESSES; COMPUTATIONAL METHODS; FINANCIAL DATA PROCESSING;

ECONOMICS; NEURAL NETWORKS;

BLACK SCHOLES OPTION PRICING THEORY;

EID: 0030659349     PISSN: 10987576     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICNN.1997.611628     Document Type: Conference Paper

References (7)

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2. Black, F. and M. Scholes (1973), "The Pricing of' Options and Corporate Liabilities," Journal of Political Economy, pp. 637-654.
3. Chen, S.-H. and W.-C Lee (1996), 'Computational Intelligence in Option Pricing: Artificial Neural Nets, Genetic Algorithms and Galerkin Method," Woking Paper Series 9612, Department of Economics, National Chengchi University.
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6. Grefenstette, J, J( 1990)," A user's Guide to GENE SIS version 5. 0," Mimeo, Naval REACH laboratory, Washington,D,C.
7. Wolpert, D. H. and W. G. Macready (1995), 'No Free Lunch Theorem for Search," Technical Report SFI-TR-95-02-010,S anta Fe Institute.