A genetic programming approach for delta hedging.
Zheng YinAnthony BrabazonConall O'SullivanPhilip A. HamillPublished in: Genet. Program. Evolvable Mach. (2019)
Keyphrases
- genetic programming
- evolutionary computation
- fitness function
- gene expression programming
- classification rules
- symbolic regression
- evolutionary algorithm
- genetic algorithm
- grammar guided genetic programming
- yangtze river
- transaction costs
- financial forecasting
- hyper heuristics
- evolutionary approaches
- grammatical evolution
- risk management
- real time
- financial markets
- option pricing
- regression problems
- convertible bonds