Hybrid Methods of Some Evolutionary Computations AndKalman Filter on Option Pricing
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Date
2017-07
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IJMER
Abstract
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.
Description
This article is published by IJMER 2017 and is also available at 2249–6645
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| IJMER | ISSN: 2249–6645