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» Sequential calibration of options
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CSDA
2008
64views more  CSDA 2008»
15 years 21 days ago
Sequential calibration of options
Erik Lindström, Jonas Ströjby, Mats Brod...
92
Voted
SIAMCO
2008
60views more  SIAMCO 2008»
15 years 16 days ago
An Inverse Problem for a Parabolic Variational Inequality with an Integro-Differential Operator
We consider the calibration of a L
Yves Achdou
EVOW
2008
Springer
15 years 2 months 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 pape...
Jing Dang, Anthony Brabazon, Michael O'Neill, Davi...
77
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GECCO
2007
Springer
154views Optimization» more  GECCO 2007»
15 years 6 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 ...
Kai Fan, Anthony Brabazon, Conall O'Sullivan, Mich...
90
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CATS
2007
15 years 2 months ago
A Linear Time Algorithm for Pricing European Sequential Barrier Options
Financial derivatives are contracts concerning rights and obligations to engage in future transactions on some underlying financial instrument. A major concern in financial mark...
Peng Gao, Ron van der Meyden