Option valuation with Generalized Ant Programming
Christian Keber, Matthias G. Schuster · 2002
For the valuation of American put options ex-act pricing formulas haven't as yet been de-rived We therefore determine analytical ap-proximations for pricing such options by in-troducing the Generalized Ant Programming (GAP) approach applicable to all problems in which the search space of feasible solu-tions consists of computer programs. GAP is a new method inspired by Genetic Program-ming as well as by Ant Algorithms. Applying our GAP-approximations for the valuation of American put options on non-dividend pay-ing stocks to experimental data as well as huge validation data sets we can show that our formulas deliver accurate results and out-perform other formulas presented in the lit-erature. 1