Hedging Derivative Securities with Genetic Programming

doi:10.1002/(SICI)1099-1174(199912)8:4%3C237::AID-ISAF174%3E3.0.CO;2-J

淡江大學機構典藏 > 商管學院 > 財務金融學系暨研究所 > 期刊論文 > Item 987654321/72286

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題名:	Hedging Derivative Securities with Genetic Programming
其他題名:	應用遺傳規畫於衍生性商品避險
作者:	李沃牆;Chen, Shu-heng;Yeh, Chi-she
貢獻者:	淡江大學財務金融學系
日期:	1999-12
上傳時間:	2011-10-24 10:19:58 (UTC+8)
摘要:	One of the most recent applications of GP to finance is to use genetic programming to derive option pricing formulas. Earlier studies take the Black–Scholes model as the true model and use the artificial data generated by it to train and to test GP. The aim of this paper is to provide some initial evidence of the empirical relevance of GP to option pricing. By using the real data from S&P 500 index options, we train and test our GP by distinguishing the case in‐the‐money from the case out‐of‐the‐money. Unlike most empirical studies, we do not evaluate the performance of GP in terms of its pricing accuracy. Instead, the derived GP tree is compared with the Black–Scholes model in its capability to hedge. To do so, a notion of tracking error is taken as the performance measure. Based on the post‐sample performance, it is found that in approximately 20% of the 97 test paths GP has a lower tracking error than the Black–Scholes formula. We further compare our result with the ones obtained by radial basis functions and multilayer perceptrons and one‐stage GP.
關聯:	International Journal of Intelligent Systems in Accounting Finance and Management 4(8), pp.14
DOI:	10.1002/(SICI)1099-1174(199912)8:4%3C237::AID-ISAF174%3E3.0.CO;2-J
顯示於類別:	[財務金融學系暨研究所] 期刊論文

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