Quantum-Inspired Evolutionary Algorithms for Calibration of the VG Option Pricing Model

Authors:
Kai Fan;Anthony Brabazon;Conall O'Sullivan;Michael O'Neill
Affiliations:
Natural Computing Research and Applications Group, University College Dublin, Ireland;Natural Computing Research and Applications Group, University College Dublin, Ireland;School of Business, University College Dublin, Ireland;Natural Computing Research and Applications Group, University College Dublin, Ireland
Venue:
Proceedings of the 2007 EvoWorkshops 2007 on EvoCoMnet, EvoFIN, EvoIASP,EvoINTERACTION, EvoMUSART, EvoSTOC and EvoTransLog: Applications of Evolutionary Computing
Year:
2009

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Abstract

Quantum effects are a natural phenomenon and just like evolution, or immune systems, can serve as an inspiration for the design of computing algorithms. This study illustrates how a quantum-inspired evolutionary algorithm can be constructed and examines the utility of the resulting algorithm on Option Pricing model calibration. The results from the algorithm are shown to be robust and comparable to those of other algorithms.