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Original Articles

Black-Scholes option pricing via genetic algorithms

Pages 129-132 | Published online: 06 Oct 2010

References

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  • Chu , Shin-Herng and Freund , S. 1996 . Volatility estimation for stock index options: a GARCH approach . Quarterly Review of Economics and Finance , 36 : 431 – 450 .
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  • Goffe , W. L. , Ferrier , G. D. and Rogers , J. 1994 . Global optimization of statistical function with simulated annealing . Journal of Econometrics , 60 : 65 – 99 .
  • Goldberg , D. E. 1989 . Genetic Algorithms in Search, Optimization, and Machine Learning , Reading, MA : Addison-Wesley .
  • Holland , J. H. 1992 . Genetic algorithms . Scientific American , July : 66 – 72 .
  • Krausz , J. 1985 . Option parameter analysis and market efficiency tests: A simultaneous solution approach . Applied Economics , 17 : 885 – 897 .
  • Manaster , S. and Koehler , G. 1982 . The calculation of implied variances from the Black-Scholes model: a note . The Journal of Finance , 37 : 227 – 230 .
  • Schwartz , E. I. 1992 . Where neural networks are already at work . Business Week , 2 November : 136 – 137 .
  • The Economist . 15 August 1992 . Tilting at Chaos 15 August ,

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