Option Pricing with Genetic Programming

Created by W.Langdon from gp-bibliography.bib Revision:1.7964

@InProceedings{chen:1998:opGP,

• author = "Shu-Heng Chen and Chia-Hsuan Yeh and Woh-Chiang Lee",
• title = "Option Pricing with Genetic Programming",
• booktitle = "Genetic Programming 1998: Proceedings of the Third Annual Conference",
• year = "1998",
• editor = "John R. Koza and Wolfgang Banzhaf and Kumar Chellapilla and Kalyanmoy Deb and Marco Dorigo and David B. Fogel and Max H. Garzon and David E. Goldberg and Hitoshi Iba and Rick Riolo",
• pages = "32--37",
• address = "University of Wisconsin, Madison, Wisconsin, USA",
• publisher_address = "San Francisco, CA, USA",
• month = "22-25 " # jul,
• publisher = "Morgan Kaufmann",
• keywords = "genetic algorithms, genetic programming",
• ISBN = "1-55860-548-7",
• URL = "ftp://econo.nccu.edu.tw/AI-ECON/YEH/1998/GP98/gp98.ps",
• URL = "http://citeseer.ist.psu.edu/cache/papers/cs/15815/ftp:zSzzSzecono.nccu.edu.twzSzAI-ECONzSzYEHzSz1998zSzGP98zSzgp98.pdf/option-pricing-with-genetic.pdf",
• URL = "http://citeseer.ist.psu.edu/324313.html",
• size = "7 pages",
• abstract = "One of the most recent applications of GP to finance is to use genetic programming to derive option pricing formulas. Earlier studies take the Black-Scholes model as the true model and use the artificial data generated by it to train and to test GP. This paper may be regarded as the first attempt to provide some initial evidence of the empirical relevance of GP to option pricing. By using the real data from S&P 500 index options, we train and test two styles of GP, one-stage GP which does not...",
• notes = "GP-98",

}

Genetic Programming entries for Shu-Heng Chen Chia Hsuan Yeh Woh-Chiang Lee

Citations