A multiobjective genetic programming approach for pricing and hedging derivative securities.
Matthias G. SchusterPublished in: CIFEr (2003)
Keyphrases
- genetic programming
- multi objective
- financial markets
- evolutionary algorithm
- genetic algorithm
- grammar guided genetic programming
- convertible bonds
- evolutionary computation
- multi objective optimization
- fitness function
- stock market
- multiobjective optimization
- optimization algorithm
- stock price
- portfolio selection
- symbolic regression
- multiple objectives
- objective function
- pareto optimal
- particle swarm optimization
- pricing model
- optimization problems
- option pricing
- gene expression programming
- risk management
- conflicting objectives
- black scholes
- multiobjective evolutionary algorithms
- multiobjective genetic algorithm
- differential evolution
- nsga ii
- simulated annealing
- genetic algorithm ga
- bi objective
- trading strategies
- multi criteria
- multiobjective evolutionary algorithm
- stock exchange
- multi objective evolutionary algorithms
- zero crossing
- financial forecasting
- uniform design
- decision analysis
- min max
- exchange rate
- computational intelligence