| Title |
Dalelių spiečiaus intelekto panaudojimas įkainojant pasirinkimo sandorius / |
| Translation of Title |
Particle swarm optimization in option pricing. |
| Authors |
Kaltanaitė, Gabrielė |
| Full Text |
|
| Pages |
67 |
| Keywords [eng] |
particle swarm optimization ; option pricing ; artificial intelligence |
| Abstract [eng] |
Swarm intelligence is a well-known collective behavior of self-organized systems, natural or artificial, which is widely used in solving complex non-linear optimization problems. One of the most challenging and popular problem in computational finance is option pricing. In this research we investigate one of the artificial intelligence based techniques – particle swarm optimization (PSO) algorithm. According to foreign and Lithuanian literature review, in this paper two stochastic volatility option pricing models are used: the Heston and Bates models which leads to optimization problems. The goal of this paper is to implement particle swarm optimization algorithm and evaluate its efficiency in finding the best sets of parameters for these two models. Optimization procedure for obtaining the optimal sets of parameters is performed on simulated data and on historical data from https://www.historicaloptiondata.com. |
| Dissertation Institution |
Kauno technologijos universitetas. |
| Type |
Master thesis |
| Language |
Lithuanian |
| Publication date |
2015 |
