Hybrid Methods of Some Evolutionary Computations AndKalman Filter on Option Pricing

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dc.contributor.authorOwusu-Ansah, Emmanuel
dc.contributor.authorAckora-Prah, Joseph
dc.contributor.authorOsei, Pearl Asieduwaa
dc.date.accessioned2024-12-04T10:57:01Z
dc.date.available2024-12-04T10:57:01Z
dc.date.issued2017-07
dc.descriptionThis article is published by IJMER 2017 and is also available at 2249–6645
dc.description.abstractThe 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.
dc.description.sponsorshipKNUST
dc.identifier.citation| IJMER | ISSN: 2249–6645
dc.identifier.uri2249–6645
dc.identifier.urihttps://ir.knust.edu.gh/handle/123456789/16024
dc.language.isoen
dc.publisherIJMER
dc.titleHybrid Methods of Some Evolutionary Computations AndKalman Filter on Option Pricing
dc.typeArticle
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