DSpace
 

KNUSTSpace >
Research Articles >
College of Science >

Please use this identifier to cite or link to this item: http://hdl.handle.net/123456789/11428

Title: A Genetic Algorithm to Price an European Put Option Using the Geometric Mean Reverting Model
Authors: Ackora-Prah, Joseph
Andam, Perpetual Saah
Gyamerah, Samuel Asante
Gyamfi, Daniel
Keywords: European put option
Geometric mean reverting model
Genetic Algorithm
Issue Date: 2014
Publisher: Applied Mathematical Sciences
Citation: Applied Mathematical Sciences, vol. 8, 2014, no. 143, 7125 - 7135; http://dx.doi.org/10.12988/ams.2014.46424
Abstract: Evolutionary computation have been used in di erent areas of re- search in nance. The more the perfect price of option we obtain the more attractive it becomes to the investors. Investors have developed much interest in option investment but when the option is exercised at a wrong time, it can lead to massive loss for the investor. This paper is mainly focused on pricing a European put option when the underlying security price is geometric mean reverting with the assumption that the Girsanov change of measure has already been implemented and it has a constant interest rate. We provide a Genetic Algorithm which gives a perfect option price needed to be redeemed by the option buyer so as the option seller gets some pro t rather than the asset expiring worthless.
Description: An article published in Applied Mathematical Sciences, vol. 8, 2014, no. 143, 7125 - 7135; http://dx.doi.org/10.12988/ams.2014.46424
URI: http://hdl.handle.net/123456789/11428
Appears in Collections:College of Science

Files in This Item:

File Description SizeFormat
ackoraprahAMS141-144-2014-1.pdf287.18 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.

 

Valid XHTML 1.0! DSpace Software Copyright © 2002-2010  Duraspace - Feedback