- author = "Christian Keber",
- title = "Evolutionary Computation in Option Pricing: Determining Implied Volatilities Based on American Put Options",
- booktitle = "Evolutionary Computation in Economics and Finance",
- publisher = "Physica-Verlag HD",
- year = "2002",
- editor = "Shu-Heng Chen",
- volume = "100",
- series = "Studies in Fuzziness and Soft Computing",
- chapter = "21",
- pages = "399--415",
- address = "Heidelberg",
- keywords = "genetic algorithms, genetic programming",
- isbn13 = "978-3-7908-1784-3",
-
URL = "
https://doi.org/10.1007/978-3-7908-1784-3_21",
-
DOI = "
10.1007/978-3-7908-1784-3_21",
- size = "pages",
- abstract = "In our investigation, Genetic Programming (GP) is used in the context of option pricing. Up to now very few publications exist in this field, the first papers, to our knowledge, come from Chen et al., Chidambaran et al., and Keber [13,14,24,25]. Currently, research activities are increasing in the ``GP/Finance''-area, as, e.g., the publications of Allen and Karjalainen as well as Neely et al. show [2,31]. In the context of option valuation a lot of models are not amenable to an exact analytical solution. Such models must be solved either by using numerical procedures or analytical approximations. In our paper we derive analytical approximations for calculating implied volatilities based on American put options using Genetic Programming. Applying our approximations to experimental data sets we can show that the results obtained by our formulas are very close to the numerically calculated ones.",
-
notes = "Also known as
\cite{Keber2002}
https://finance.martinsewell.com/option-pricing/
Department of Business Administration, University of Vienna, Austria",
