Particle swarm optimization algorithm for option pricing: extended abstract

Authors:
Hari Prasain;Parimala Thulasiraman;Ruppa K. Thulasiram;Girish K. Jha
Affiliations:
University of Manitoba, Winnipeg, MAN, Canada;University of Manitoba, Winnipeg, MAN, Canada;University of Manitoba, Winnipeg, MAN, Canada;Indian Agricultural Research Institute, New Delhi, India
Venue:
Proceedings of the 12th annual conference companion on Genetic and evolutionary computation
Year:
2010

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Abstract

In this paper we design, develop and implement a sequential Particle swarm optimization based option pricing algorithm. The proposed algorithm is applicable for both European and American option.