Evolutionary Computation and The Vega Risk of American Put Options  

Oleh:

Keber, C. ; Schuster, M. G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: IEEE Transactions on Neural Networks vol. 12 no. 4 (2001), page 704-715.
Topik: risks; evolutionary; computation; vega risk; american put; options

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II36.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

While European style options and American call options can be priced using analytical exact valuation models, closed - form solutions for the valuation of American puts have not yet been derived. The American put price as well as the corresponding greeks (e. g., delta, gamma, vega) can be calculated using numerical procedures or analytical approximations. We use a parallel implementation of the genetic programming approach and derive analytical approximations for determining the vega of an American put option because calculating vegas numerically requires even more computational effort than determining deltas or gammas. Applying our approximations to experimental data sets we can show that the genetically derived approximations outperform other approximations based on frequently used American put pricing formulas.

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