Pricing Derivatives using ACO Algorithm
نویسندگان
چکیده
This paper uses a modified Ant Colony Optimization (ACO) algorithm to price simple financial derivatives. We use ants to find the optimum time to exercise an option. Our algorithm searches the solution space to find optimum solution under some user defined constraints. In this preliminary study we show that the modified ACO works in predicting an optimum exercise time of a simple vanilla option.
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