Approximate Solution for Barrier Option Pricing Using Adaptive Differential Evolution With Learning Parameter

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dc.contributor.authorFebrianti, Werry
dc.contributor.authorSidarto, Kuntjoro Adji
dc.contributor.authorSumarti, Novriana
dc.coverage.issue2cs
dc.coverage.volume28cs
dc.date.accessioned2023-01-13T06:21:06Z
dc.date.available2023-01-13T06:21:06Z
dc.date.issued2022-12-20cs
dc.description.abstractBlack-Scholes (BS) equations, which are in the form of stochastic partial differential equations, are fundamental equations in mathematical finance, especially in option pricing. Even though there exists an analytical solution to the standard form, the equations are not straightforward to be solved numerically. The effective and efficient numerical method will be useful to solve advanced and non-standard forms of BS equations in the future. In this paper, we propose a method to solve BS equations using an approach of optimization problems, where a metaheuristic optimization algorithm is utilized to find the best-approximated solutions of the equations. Here we use the Adaptive Differential Evolution with Learning Parameter (ADELP) algorithm. The BS equations being solved are meant to find values of European option pricing that is equipped with Barrier option pricing. The result of our approximation method fits well to the analytical approximation solutions.en
dc.formattextcs
dc.format.extent76-82cs
dc.format.mimetypeapplication/pdfen
dc.identifier.citationMendel. 2022 vol. 28, č. 2, s. 76-82. ISSN 1803-3814cs
dc.identifier.doi10.13164/mendel.2022.2.076en
dc.identifier.issn2571-3701
dc.identifier.issn1803-3817
dc.identifier.urihttp://hdl.handle.net/11012/208739
dc.language.isoencs
dc.publisherInstitute of Automation and Computer Science, Brno University of Technologycs
dc.relation.ispartofMendelcs
dc.relation.urihttps://mendel-journal.org/index.php/mendel/article/view/194cs
dc.rightsCreative Commons Attribution-NonCommercial-ShareAlike 4.0 International licenseen
dc.rights.accessopenAccessen
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0en
dc.subjectAdaptive differential evolutionen
dc.subjectApproximation solutionen
dc.subjectBlack-Scholesen
dc.subjectMetaheuristic optimizationen
dc.subjectPartial differential equationsen
dc.titleApproximate Solution for Barrier Option Pricing Using Adaptive Differential Evolution With Learning Parameteren
dc.type.driverarticleen
dc.type.statusPeer-revieweden
dc.type.versionpublishedVersionen
eprints.affiliatedInstitution.facultyFakulta strojního inženýrstvícs
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Vol. 28, No. 2