Parameter estimation of uncertain stock model using residual method optimized by genetic algorithm: valuation of vulnerable European and barrier options

Author:

Mehrdoust FarshidORCID,Noorani Idin,Hamdi Abdelouahed

Publisher

Springer Science and Business Media LLC

Reference36 articles.

1. Chen X (2011) American option pricing formula for uncertain financial market. Int J Operat Res 8(2):32–37

2. Chen X, Gao J (2013) Uncertain term structure model of interest rate. Soft Comput 17(4):597–604

3. Eberhart R, Kennedy J (1995) A new optimizer using particle swarm theory. In: MHS’95. Proceedings of the sixth international symposium on micro machine and human science (pp. 39-43). Ieee

4. Goldberg DE (1989) Genetic Algorithms in Search. Optimization and Machine Learning. Addison-Wesley Reading Mass, Boston

5. Hassanzadeh S, Mehrdoust F (2018) Valuation of European option under uncertain volatility model. Soft Comput 22(12):4153–4163

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