Option Valuation With Generalized Ant Programming
نویسندگان
چکیده
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 Generalized 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.
منابع مشابه
Incorporating Operational Characteristics and Start-up Costs in Option-based Valuation of Power Generation Capacity
We describe a stochastic dynamic programming approach for “real option” based valuation of electricity generation capacity incorporating operational constraints and startup costs. Stochastic prices of electricity and fuel are represented by recombining multinomial trees. Generators are modeled as a strip of cross commodity call options with a delay and a cost imposed on each option exercise. We...
متن کاملValuation of installment option by penalty method
In this paper, installment options on the underlying asset which evolves according to Black-Scholes model and pays constant dividend to its owner will be considered. Applying arbitrage pricing theory, the non-homogeneous parabolic partial differential equation governing the value of installment option is derived. Then, penalty method is used to value the European continuous installment call opt...
متن کاملGeneralized Cyclic Open Shop Scheduling and a Hybrid Algorithm
In this paper, we first introduce a generalized version of open shop scheduling (OSS), called generalized cyclic open shop scheduling (GCOSS) and then develop a hybrid method of metaheuristic to solve this problem. Open shop scheduling is concerned with processing n jobs on m machines, where each job has exactly m operations and operation i of each job has to be processed on machine i . However...
متن کاملA Numerical Method for Pricing American-style Asian Options under Garch Model
This article develops a numerical method to price American-style Asian option in the context of the generalized autoregressive conditional heteroscedasticity (GARCH) asset return process. The development is based on dynamic programming coupled with the replacement of the normally distributed variable with a binomial one and the whole procedure is under the locally risk-neutral valuation relatio...
متن کاملThe Uphill Battle of Ant Programming Vs. Genetic Programming
Ant programming has been proposed as an alternative to Genetic Programming (GP) for the automated production of computer programs. Generalized Ant Programming (GAP) – an automated programming technique derived from principles of swarm intelligence – has shown promise in solving symbolic regression and other hard problems. Enhanced Generalized Ant Programming (EGAP) has improved upon the perform...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2002