A dynamic hybrid option pricing model by genetic algorithm and black- scholes model

被引：0

作者：

Chen, Yi-Chang ^{[1
]}

Chang, Shan-Lin ^{[1
]}

Wu, Chia-Chun ^{[1
]}

机构：

[1] Department of Information Management, National Pingtung Institute of Commerce, Pingtung, 900, Taiwan

来源：

World Academy of Science, Engineering and Technology | 2010年 / 45卷

关键词：

Electronic trading - Cost estimating - Investments - Commerce - Financial markets;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

Unlike this study focused extensively on trading behavior of option market, those researches were just taken their attention to model-driven option pricing. For example, Black-Scholes (B-S) model is one of the most famous option pricing models. However, the arguments of B-S model are previously mentioned by some pricing models reviewing. This paper following suggests the importance of the dynamic character for option pricing, which is also the reason why using the genetic algorithm (GA). Because of its natural selection and species evolution, this study proposed a hybrid model, the Genetic-BS model which combining GA and B-S to estimate the price more accurate. As for the final experiments, the result shows that the output estimated price with lower MAE value than the calculated price by either B-S model or its enhanced one, Gram-Charlier garch (G-C garch) model. Finally, this work would conclude that the Genetic-BS pricing model is exactly practical.

引用

页码：716 / 719