Option pricing by means of genetic programming: how to find a closed-form solution for the price of European call options?
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Saarbrücken
VDM-Verlag Dr. Müller
2008
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018670335&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Literaturverz. S. 58 - 60. - Hergestellt on demand |
| Umfang: | 60 S. graph. Darst. 22 cm |
| ISBN: | 9783836485203 |
Internformat
MARC
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| 245 | 1 | 0 | |a Option pricing by means of genetic programming |b how to find a closed-form solution for the price of European call options? |c Andreas Heigl |
| 264 | 1 | |a Saarbrücken |b VDM-Verlag Dr. Müller |c 2008 | |
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Datensatz im Suchindex
| _version_ | 1819303238954909696 |
|---|---|
| adam_text | CONTENTS 1 INTRODUCTION 5 2 OPTION PRICING 7 2.1 BASIC APPROACHES IN
OPTION PRICING 7 2.1.1 SOME DEFINITIONS AND BASIC MODELS 7 2.1.2 THE
BLACK-SCHOLES FORMULA 9 2.2 DISCRETE-TIME STOCHASTIC PROCESSES AND THE
GARCH MODEL 10 2.2.1 DISCRETE-TIME STOCHASTIC PROCESSES 10 2.2.2 THE
GARCH MODEL 10 2.2.3 MONTE CARLO SIMULATION OF A GARCH PROCESS 11 3
OVERVIEW OF GENETIC PROGRAMMING 14 3.1 GENETIC ALGORITHMS 14 3.1.1 BASIC
TERMINOLOGY 15 3.1.2 FLOWCHART OF A SIMPLE GENETIC ALGORITHM 17 3.1.3
ADDITIONAL SETTINGS 17 3.2 GENETIC PROGRAMMING 18 3.2.1 TERMINAL SET AND
FUNCTION SET 18 3.2.2 CREATION OF THE INITIAL POPULATION 19 3.2.3
GENETIC OPERATIONS 20 3.2.4 AUTOMATIC DEFINED FUNCTIONS 21 3.2.5 BLOAT
CONTROL 22 3.2.6 CONTROL PARAMETERS 22 4 A SURVEY OF EXISTING APPROACHES
IN OPTION PRICING 24 4.1 NEURAL NETWORKS 24 4.2 MARKOV CHAIN
APPROXIMATION 25 4.3 GENETIC PROGRAMMING 26 5 STRATEGIC DECISIONS OF THE
NEW APPROACH 28 5.1 GARCH PROCESS 28 5.2 GENETIC PROGRAMMING 29 5.2.1
FUNCTIONS AND TERMINALS 29 5.2.2 FITNESS FUNCTION AND BLOAT CONTROL 30
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/988803720 DIGITALISIERT
DURCH 5.2.3 POPULATION SIZE, NUMBER OF GENERATIONS AND MUTATION 31 5.2.4
AUTOMATIC DEFINED FUNCTIONS AND HYBRID APPROACHES 31 IMPLEMENTATION
DETAILS 32 6.1 LIBRARIES 32 6.1.1 THE GENETIC PROGRAMMING KERNEL 32
6.1.2 A RANDOM NUMBER GENERATOR LIBRARY 34 6.1.3 GNU SCIENTIFIC LIBRARY
36 6.2 NEW CLASSES AND FUNCTIONS 36 6.2.1 ADDITIONAL FUNCTIONS 36 6.2.2
GPOPDATA 37 6.2.3 MYGPVARIABLES 38 6.2.4 MYGENE 38 6.2.5 MYGP 38 6.2.6
MYPOPULATION 39 6.2.7 EXECUTABLES 39 6.3 OVERVIEW UML DIAGRAM 40 RESULTS
AND STATISTICS 42 7.1 STATISTICS OF THE IDENTIFICATION OF THE BEST
CONFIGURATION 42 7.1.1 SETTING OF THE TEST ENVIRONMENT 42 7.1.2 TEST
RESULTS 43 7.1.3 UTILIZATION OF THE ADFS AND THE HYBRID APPROACHES 45
7.2 COMPARISON OF THE BEST EQUATION FOUND WITH THE ORIGINAL PROCESS 46
7.2.1 SETTING OF THE GENETIC ALGORITHM 46 7.2.2 THE RESULT 46 7.2.3 THE
ORIGINAL PROCESS 47 7.3 COMPARISON OF THE RESULTS WITH OTHER APPROACHES
52 7.3.1 COMPARISON OF THE RESULT WITH [HAN98] 52 7.3.2 COMPARISON OF
THE RESULT WITH [DS01] 52 7.3.3 COMPARISON OF THE RESULT WITH [KEB99] 52
CONCLUSION 54 8.1 NEW APPROACHES 54 8.2 SUMMARY OF THE RESULT 54 8.3
FUTURE ISSUES 55
|
| any_adam_object | 1 |
| author | Heigl, Andreas |
| author_facet | Heigl, Andreas |
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| author_sort | Heigl, Andreas |
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| building | Verbundindex |
| bvnumber | BV035811419 |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)463780487 (DE-599)DNB988803720 |
| discipline | Wirtschaftswissenschaften |
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| id | DE-604.BV035811419 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T14:00:44Z |
| institution | BVB |
| isbn | 9783836485203 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-018670335 |
| oclc_num | 463780487 |
| open_access_boolean | |
| owner | DE-384 |
| owner_facet | DE-384 |
| physical | 60 S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | VDM-Verlag Dr. Müller |
| record_format | marc |
| spellingShingle | Heigl, Andreas Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? Optionspreis (DE-588)4115453-8 gnd |
| subject_GND | (DE-588)4115453-8 |
| title | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? |
| title_auth | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? |
| title_exact_search | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? |
| title_full | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? Andreas Heigl |
| title_fullStr | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? Andreas Heigl |
| title_full_unstemmed | Option pricing by means of genetic programming how to find a closed-form solution for the price of European call options? Andreas Heigl |
| title_short | Option pricing by means of genetic programming |
| title_sort | option pricing by means of genetic programming how to find a closed form solution for the price of european call options |
| title_sub | how to find a closed-form solution for the price of European call options? |
| topic | Optionspreis (DE-588)4115453-8 gnd |
| topic_facet | Optionspreis |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018670335&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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