A Genetic Algorithm for option pricing
| dc.contributor.author | Saah, Andam Perpetual | |
| dc.date.accessioned | 2014-10-30T11:20:06Z | |
| dc.date.accessioned | 2023-04-20T04:03:01Z | |
| dc.date.available | 2014-10-30T11:20:06Z | |
| dc.date.available | 2023-04-20T04:03:01Z | |
| dc.date.issued | 2014-10-30 | |
| dc.description | A thesis submitted to the Department of Mathematics, Kwame Nkrumah University of Science and Technology in partial fufillment of the requirement for the Degree of Master of Philosophy (Applied Mathematics), | en_US |
| dc.description.abstract | The search for a better option pricing model continues to nd the one that outperforms the existing ones in the nancial market. We present a Genetic Algorithm to price a xed term American put option when the underlying asset price is Geometric Brownian Motion. The Genetic Algorithm has a better approximation of the relationship between the option price and its contract terms. Our method produces a perfect and a minimum option price that outperforms other models like the Black-Scholes under the same conditions. Our method requires minimum assumptions and can easily adapt to changes and uncertainties in the nancial environments. | en_US |
| dc.description.sponsorship | KNUST | en_US |
| dc.identifier.uri | https://ir.knust.edu.gh/handle/123456789/6663 | |
| dc.language.iso | en | en_US |
| dc.title | A Genetic Algorithm for option pricing | en_US |
| dc.type | Thesis | en_US |
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