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  1. Home
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Browsing by Author "Osei, Pearl Asieduwaa"

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    Hybrid Methods of Some Evolutionary Computations AndKalman Filter on Option Pricing
    (IJMER, 2017-07) Owusu-Ansah, Emmanuel; Ackora-Prah, Joseph; Osei, Pearl Asieduwaa
    The search for a better option price continues within the financial institution. In pricing a put option, holders of the underlying stock always want to make the best decision by maximizing profit. We present an optimal hybrid model among the following combinations: Kalman Filter-Genetic Programming(KF-GP), Kalman Filter-Evolutionary Strategy(KF-ES) and Evolutionary Strategy -Genetic Programming(ES- GP). Our results indicate that the hybrid method involving Kalman Filter-Evolutionary Strategy(KF-ES) is the best model for any investor. Sensitivity analysis was conducted on the model parameters to ascertain the rigidity of the model.

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