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EVOW
2008
Springer

Option Model Calibration Using a Bacterial Foraging Optimization Algorithm

9 years 16 hour ago
Option Model Calibration Using a Bacterial Foraging Optimization Algorithm
The Bacterial Foraging Optimization (BFO) algorithm is a biologically inspired computation technique which is based on mimicking the foraging behavior of E.coli bacteria. This paper illustrates how a BFO algorithm can be constructed and applied to solve parameter estimation of a EGARCH-M model which is then used for calibration of a volatility option pricing model. The results from the algorithm are shown to be robust and extendable, suggesting the potential of applying the BFO for financial modeling.
Jing Dang, Anthony Brabazon, Michael O'Neill, Davi
Added 19 Oct 2010
Updated 19 Oct 2010
Type Conference
Year 2008
Where EVOW
Authors Jing Dang, Anthony Brabazon, Michael O'Neill, David Edelman
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