Particle swarm optimization algorithm for option pricing: extended abstract.
Hari PrasainParimala ThulasiramanRuppa K. ThulasiramGirish K. JhaPublished in: GECCO (Companion) (2010)
Keyphrases
- extended abstract
- particle swarm optimization algorithm
- option pricing
- stock price
- particle swarm optimization
- black scholes
- decision analysis
- particle swarm
- convergence speed
- global search
- pso algorithm
- real option
- inertia weight
- black scholes model
- genetic algorithm
- multi criteria
- historical data
- global optimization
- differential evolution
- feature selection