English  |  正體中文  |  简体中文  |  Items with full text/Total items : 87924/117065 (75%)
Visitors : 23339518      Online Users : 98
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/23255


    Title: Hedging Derivative Securities with Genetic Programming
    Authors: 陳樹衡;W.-C. Lee;C.-H. Yeh
    Chen,Shu-Heng;Lee,Wo-Chiang;Yeh,Chia-Hsuan
    Keywords: option pricing;Black-Scholes model;genetic programming;tracking error
    Date: 1999-12
    Issue Date: 2009-01-09 12:15:22 (UTC+8)
    Abstract: 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. Copyright © 1999 John Wiley & Sons, Ltd.
    Relation: International Journal of Intelligent Systems in Accounting Finance and Management,4(8),237-251
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1002/(SICI)1099-1174(199912)8:4<237::AID-ISAF174>3.0.CO;2-J
    DOI: 10.1002/(SICI)1099-1174(199912)8:4<237::AID-ISAF174>3.0.CO;2-J
    Appears in Collections:[經濟學系] 期刊論文

    Files in This Item:

    File Description SizeFormat
    ijafm.pdf193KbAdobe PDF958View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback