Hedging without sweat: a genetic programming approach
نویسندگان
چکیده
منابع مشابه
Hedging derivative securities with genetic programming
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. The aim of this paper is to provide some initial evidence of the empirical relevance of GP to option pricing. By using the real data from S&P 500 i...
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ژورنال
عنوان ژورنال: Quantitative Finance Letters
سال: 2013
ISSN: 2164-9502,2164-9510
DOI: 10.1080/21649502.2013.813166