Genetic programming with Monte Carlo simulation for option pricing

Created by W.Langdon from gp-bibliography.bib Revision:1.7630

@InProceedings{Chidambaran:2003:WSC,

• author = "N. K. Chidambaran",
• title = "Genetic programming with Monte Carlo simulation for option pricing",
• booktitle = "Proceedings of the 2003 Winter Simulation Conference",
• year = "2003",
• editor = "S. Chick and P. J. Sanchez and D. Ferrin and D. J. Morrice",
• volume = "1",
• pages = "285--292",
• address = "New Orleans, USA",
• month = "7-10 " # dec,
• publisher = "IEEE",
• keywords = "genetic algorithms, genetic programming",
• ISBN = "0-7803-8132-7",
• URL = "http://www.informs-sim.org/wsc03papers/035.pdf",
• size = "8 pages",
• abstract = "I examine the role of programming parameters in determining the accuracy of genetic programming for option pricing. I use Monte Carlo simulations to generate stock and option price data needed to develop a genetic option pricing program. I simulate data for two different stock price processes - a geometric Brownian process and a jump-diffusion process. In the jump-diffusion setting, I seed the genetic program with the Black-Scholes equation as a starting approximation. I find that population size, fitness criteria, and the ability to seed the program with known analytical equations, are important determinants of the efficiency of genetic programming.",
• notes = "details from ieee",

}

Genetic Programming entries for N K Chidambaran

Citations