Option Pricing by Means of Genetic Programming

author = "Andreas Heigl",

title = "Option Pricing by Means of Genetic Programming",

subtitle = "How to Find a Closed-form Solution for the Price of European Call Options?",

publisher = "VDM Verlag Dr. Mueller",

year = "2008",

month = "3 " # apr,

keywords = "genetic algorithms, genetic programming",

isbn13 = "9783836485203",

URL = "

https://www.amazon.com/Option-Pricing-Means-Genetic-Programming/dp/3836485206/ref=sr_1_2",

broken = "http://www.word-power.co.uk/books/option-pricing-by-means-of-genetic-programming-I9783836485203/",

abstract = "This master thesis describes how to price options by means of Genetic Programming. The underlying model is the Generalized Autoregressive Conditional Heteroskedastic (GARCH) asset return process. The goal is to find a closed-form solution for the price of European call options where the underlying securities follow a GARCH process. Genetic Programming is used to generate the pricing function from the data. Genetic Programming is a method of producing programs just by defining a problem dependent fitness function. The resulting equation is...",

notes = "See also \cite{heigl_05}",

size = "68 pages",