An adaptive evolutionary approach to option pricing via genetic programming (1998)

by N. K. Chidambaran , Chi-wen Jevons Lee , Joaquin R. Trigueros
Venue:Proceedings of the 6th International Conference on Computational Finance
Citations:12 - 0 self

Active Bibliography

59 Testing Option Pricing Models – David S. Bates
80 New Insights Into Smile, Mispricing and Value At Risk: The Hyperbolic Model – Ernst Eberlein, Ulrich Keller, Karsten Prause - 1998
and – Ramazan Gençay, Aslihan Salih
213 Stochastic Volatility – Eric Ghysels, Andrew Harvey, Eric Renault - 1995
Risk Management for International Investment Portfolios using forward contracts and Options ∗ – Nikolas Topaloglou, Hercules Vladimirou, Stavros A. Zenios - 2004
5 Pricing stock options under stochastic volatility and stochastic interest rates with efficient method . . . – George J. Jiang, Pieter J. van der Sluis - 1998
theory – Bhupinder Bahra
10 Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities – Massimo Guidolin, Allan Timmermann - 2003
3 Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates – J. Jiang, Pieter J. van der Sluis, George J. Jiang - 2000
Deterministic Versus Stochastic Volatility: Implications for Option Pricing Models – Paul Brockman, Mustafa Chowdhury - 1997
Les organisations-partenaires / The Partner Organizations – Mark Broadie, Jérôme Detemple, Eric Ghysels, Olivier Torrès, Octobre Cirano, École Des Hautes Études Commerciales
The Effects of Leverage On The Pricing S&P 500 Index Call Options By – Robert Geske, Yi Zhou - 2006
13 Stochastic Volatility, Smile & Asymptotics – K. Ronnie Sircar , George C. Papanicolaou - 1998
Les organisations-partenaires / The Partner Organizations – Eric Ghysels, Clive W. J. Granger, Pierre L. Siklos, Décembre Cirano, École Des Hautes Études Commerciales, École Polytechnique, Université Laval
THE VOLATILITY PROCESS: A STUDY OF STOCK MARKET DYNAMICS VIA PARAMETRIC STOCHASTIC VOLATILITY MODELS AND A COMPARISON TO THE INFORMATION EMBEDDED IN THE OPTIONS PRICE – De Paris, Collège Doctoral, M. Lane, M. Marco, M. Piotr, Karasinski Examinateur, M. Bernard, Lapeyre Examinateur, M. Yves, Rouchaleau Examinateur Acknowledgments, Peter Carr, Espen Haug, Ali Hirsa, Simon Julier, Alan Lewis, Dilip Madan, Youssef R, Paul Wilmott, David Wong
_________________________________________________________________ THE EFFECTS OF HEDGERS AND SPECULATORS ON THE IMPLIED VOLATILITY SKEW: A TRANSACTIONS DATA STUDY ___________________________________________________________________________________ – Robert T. Daigler, Marilyn Wiley, Michael Sullivan - 2000
AN EMPIRICAL COMPARISON: TWO SPECIAL CASES OF CEV OPTION PRICING MODEL AND BLACK-SCHOLES MODEL – Haibo Jiang (student
167 Implied Volatility Functions: Empirical Tests – B. Dumas, Jeff Fleming, Robert E. Whaley - 1995
GP Age-layer and Crossover Effects in Bid-Offer Spread Prediction – Amy Willis, Suneer Patel, Christopher D. Clack