- author = "Christian Keber and Matthias G. Schuster",
- title = "Option Valuation With Generalized Ant Programming",
- booktitle = "GECCO 2002: Proceedings of the Genetic and Evolutionary Computation Conference",
- editor = "W. B. Langdon and E. Cant{\'u}-Paz and K. Mathias and R. Roy and D. Davis and R. Poli and K. Balakrishnan and V. Honavar and G. Rudolph and J. Wegener and L. Bull and M. A. Potter and A. C. Schultz and J. F. Miller and E. Burke and N. Jonoska",
- year = "2002",
- pages = "74--81",
-
URL = "
http://gpbib.cs.ucl.ac.uk/gecco2002/aaaa075.ps",
-
URL = "
http://gpbib.cs.ucl.ac.uk/gecco2002/aaaa075.pdf",
-
URL = "http://www.cs.ucl.ac.uk/staff/W.Langdon/ftp/papers/gecco2002/gecco-2002-01.pdf",
-
URL = "
http://dl.acm.org/citation.cfm?id=2955491.2955502",
- acmid = "2955502",
- publisher_address = "San Francisco, CA 94104, USA",
- month = "9-13 " # jul,
- publisher = "Morgan Kaufmann Publishers",
- keywords = "genetic algorithms, genetic programming, artificial life, adaptive behavior, agents, ant colony optimization, ant algorithm, ant programming, option valuation, symbolic regression",
- ISBN = "1-55860-878-8",
- abstract = "For the valuation of American put options exact pricing formulas haven't as yet been derived We therefore determine analytical approximations for pricing such options by introducing the Generalised Ant Programming (GAP) approach applicable to all problems in which the search space of feasible solutions consists of computer programs. GAP is a new method inspired by Genetic Programming as well as by Ant Algorithms. Applying our GAP-approximations for the valuation of American put options on non-dividend paying stocks to experimental data as well as huge validation data sets we can show that our formulas deliver accurate results and outperform other formulas presented in the literature.",
-
notes = "GECCO-2002. A joint meeting of the eleventh
International Conference on Genetic Algorithms
(ICGA-2002) and the seventh Annual Genetic Programming
Conference (GP-2002)
",
