Estimation of an EGARCHVolatility Option Pricing Model using a Bacteria Foraging Optimisation Algorithm

Jing Dang, Anthony Brabazon, Michael O Neill, David Edelman. Estimation of an EGARCHVolatility Option Pricing Model using a Bacteria Foraging Optimisation Algorithm. In Anthony Brabazon, Michael O Neill, editors, Natural Computing in Computational Finance. Volume 100 of Studies in Computational Intelligence, pages 109-127, Springer, 2008. [doi]

Abstract

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