Developing a two level options trading strategy based on option pair optimization of spread strategies with evolutionary algorithms.
Ilknur UcarAhmet Murat ÖzbayogluMustafa UcarPublished in: CEC (2015)
Keyphrases
- evolutionary algorithm
- optimization problems
- evolution strategy
- search strategies
- multi objective
- option pricing
- optimization method
- differential evolution
- optimization strategies
- evolutionary strategy
- optimization algorithm
- genetic programming
- evolutionary computation
- particle swarm
- multi objective optimization
- fitness function
- evolutionary search
- metaheuristic
- pairwise
- payoff functions
- test functions
- discrete optimization
- evolutionary process
- multidisciplinary design optimization
- optimization methods
- global optimization
- ant colony optimization
- simulated annealing
- genetic algorithm
- initial population
- multiple objectives
- constrained optimization
- combinatorial optimization
- data sets