स्वार्म इंटेलिजेंस और इवोल्यूशनरी कंप्यूटेशन का अंतर्राष्ट्रीय जर्नल

अमूर्त

Cuckoo Search Optimization for Black Scholes Option Pricing

Manas Shah

Black Scholes option pricing model is one of the most important concepts in modern world of computational finance. However, its practical use can be challenging as one of the input parameters must be estimated; implied volatility of the underlying security. The more precisely these values are estimated, the more accurate their corresponding estimates of theoretical option prices would be. Here, we present a novel model based on Cuckoo Search Optimization (CS) which finds more precise estimates of implied volatility than Particle Swarm Optimization (PSO) and Genetic Algorithm (GA).