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Option Pricing Via Genetic Programming
16 references·1 citing·31 second hop
Option Pricing Via Genetic Programming (2002)Option Pricing Via Genetic ProgrammingTheory of rational option pricing (2005)Theory of rational option pri…Using genetic algorithms to find technical trading rules (1999)Using genetic algorithms to f…Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach (1997)Is Technical Analysis in the …Implied Binomial Trees (1994)Implied Binomial TreesAlternative Models for the Conditional Heteroscedasticity of Stock Returns (1994)Alternative Models for the Co…A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks (1994)A Nonparametric Approach to P…Stock Returns and Volatility (1990)Stock Returns and VolatilityOptions, Futures, and Other Derivative Securities. (1990)Options, Futures, and Other D…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)On Jumps in Common Stock Pric…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…Deriving inventory-control policies with genetic programming (2004)Deriving inventory-control po…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Bivariate garch estimation of the optimal commodity futures Hedge (1991)Inequality Constraints in the Univariate GARCH Model (1992)MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The valuation of options for alternative stochastic processes (1976)Option pricing: A simplified approach (1979)Post-'87 crash fears in the S&P 500 futures option market (2000)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)An Engine, Not a Camera (2006)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)An Anatomy of Trading Strategies (1998)Chapter 24 Agent-based Computational Finance (2006)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)5 Stochastic volatility (1996)Statistical aspects of ARCH and stochastic volatility (1996)Monte Carlo methods for security pricing (1997)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 1994Implied Binomial Trees1,749 cited
  • 1990Options, Futures, and Other Derivative Securities.1,227 cited
  • 1999Using genetic algorithms to find technical trading rules855 cited
  • 1990Stock Returns and Volatility722 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1994A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks718 cited
  • 1997Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach641 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1985On Jumps in Common Stock Prices and Their Impact on Call Option Pricing409 cited
  • 1994

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Alternative Models for the Conditional Heteroscedasticity of Stock Returns
194 cited

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  • 2004Deriving inventory-control policies with genetic programming19 cited