Evolutionary computation and the vega risk of American put options

IEEE Transactions on Neural Networks

Volumn 12, Issue 4, 2001, Pages 704-715

  Keber, C ^a   Schuster, M G ^a  

^a UNIVERSITY OF VIENNA   (Austria)

Author keywords

Genetic programming; Hedging; Option pricing; Vega risk

Indexed keywords

APPROXIMATION THEORY; CLIENT SERVER COMPUTER SYSTEMS; COMPUTATIONAL COMPLEXITY; COMPUTER SIMULATION; DATA MINING; DYNAMIC PROGRAMMING; ECONOMICS; FINANCE; GENETIC ALGORITHMS; RANDOM PROCESSES;

GENETIC PROGRAMMING; HEDGING; OPTION PRICING; VEGA RISK;

NEURAL NETWORKS;

EID: 0035390989     PISSN: 10459227     EISSN: None     Source Type: Journal    
DOI: 10.1109/72.935084     Document Type: Article

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