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- W1536407749 abstract "For the valuation of American put options exact pricing formulas haven't as yet been derived We therefore determine analytical approximations for pricing such options by introducing the Generalized Ant Programming (GAP) approach applicable to all problems in which the search space of feasible solutions consists of computer programs. GAP is a new method inspired by Genetic Programming as well as by Ant Algorithms. Applying our GAP-approximations for the valuation of American put options on non-dividend paying stocks to experimental data as well as huge validation data sets we can show that our formulas deliver accurate results and outperform other formulas presented in the literature." @default.
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- W1536407749 date "2002-07-09" @default.
- W1536407749 modified "2023-09-23" @default.
- W1536407749 title "Option valuation with Generalized Ant Programming" @default.
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