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GECCO
2007
Springer

Option pricing model calibration using a real-valued quantum-inspired evolutionary algorithm

9 years 5 months ago
Option pricing model calibration using a real-valued quantum-inspired evolutionary algorithm
Quantum effects are a natural phenomenon and just like evolution, or immune processes, can serve as an inspiration for the design of computing algorithms. This study illustrates how a real-valued quantum-inspired evolutionary algorithm (QEA) can be constructed and examines the utility of the resulting algorithm on an important real-world problem, namely the calibration of an Option Pricing model. The results from the algorithm are shown to be robust and sensitivity analysis is carried out on the algorithm parameters, suggesting that there is useful potential to apply QEA to this domain. Categories and Subject Descriptors: Real-World Applications - Finance General Terms: Experimentation
Kai Fan, Anthony Brabazon, Conall O'Sullivan, Mich
Added 07 Jun 2010
Updated 07 Jun 2010
Type Conference
Year 2007
Where GECCO
Authors Kai Fan, Anthony Brabazon, Conall O'Sullivan, Michael O'Neill
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