{"id":"https://openalex.org/W2131929167","doi":"https://doi.org/10.1109/wsc.2003.1261435","title":"Genetic programming with Monte Carlo simulation for option pricing","display_name":"Genetic programming with Monte Carlo simulation for option pricing","publication_year":2004,"publication_date":"2004-05-13","ids":{"openalex":"https://openalex.org/W2131929167","doi":"https://doi.org/10.1109/wsc.2003.1261435","mag":"2131929167"},"language":"en","primary_location":{"id":"doi:10.1109/wsc.2003.1261435","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2003.1261435","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693)","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5111099896","display_name":"N.K. Chidambaran","orcid":null},"institutions":[{"id":"https://openalex.org/I102322142","display_name":"Rutgers, The State University of New Jersey","ror":"https://ror.org/05vt9qd57","country_code":"US","type":"education","lineage":["https://openalex.org/I102322142"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"N.K. Chidambaran","raw_affiliation_strings":["Rutgers Business School-Newark & New Brunswick, Rutgers University, Piscataway, NJ, USA","Rutgers Business School; Rutgers University; Piscataway NJ USA"],"affiliations":[{"raw_affiliation_string":"Rutgers Business School-Newark & New Brunswick, Rutgers University, Piscataway, NJ, USA","institution_ids":["https://openalex.org/I102322142"]},{"raw_affiliation_string":"Rutgers Business School; Rutgers University; Piscataway NJ USA","institution_ids":["https://openalex.org/I102322142"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5111099896"],"corresponding_institution_ids":["https://openalex.org/I102322142"],"apc_list":null,"apc_paid":null,"fwci":2.4021,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":{"value":0.90408092,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":94},"biblio":{"volume":null,"issue":null,"first_page":"285","last_page":"292"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9879000186920166,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9879000186920166,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.9740999937057495,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/jump-diffusion","display_name":"Jump diffusion","score":0.8126171827316284},{"id":"https://openalex.org/keywords/genetic-programming","display_name":"Genetic programming","score":0.6442895531654358},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.6361432075500488},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.6105151176452637},{"id":"https://openalex.org/keywords/monte-carlo-methods-for-option-pricing","display_name":"Monte Carlo methods for option pricing","score":0.5605951547622681},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5118781328201294},{"id":"https://openalex.org/keywords/population","display_name":"Population","score":0.4980947971343994},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.4816514551639557},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4621167480945587},{"id":"https://openalex.org/keywords/genetic-algorithm","display_name":"Genetic algorithm","score":0.453143447637558},{"id":"https://openalex.org/keywords/jump","display_name":"Jump","score":0.40469789505004883},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.3428798317909241},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.28520259261131287},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.24614346027374268},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.10222980380058289},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.07654297351837158},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.07143685221672058},{"id":"https://openalex.org/keywords/innovation-diffusion","display_name":"Innovation diffusion","score":0.06918394565582275}],"concepts":[{"id":"https://openalex.org/C2779664328","wikidata":"https://www.wikidata.org/wiki/Q6311158","display_name":"Jump diffusion","level":3,"score":0.8126171827316284},{"id":"https://openalex.org/C110332635","wikidata":"https://www.wikidata.org/wiki/Q629498","display_name":"Genetic programming","level":2,"score":0.6442895531654358},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.6361432075500488},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.6105151176452637},{"id":"https://openalex.org/C101710237","wikidata":"https://www.wikidata.org/wiki/Q6904701","display_name":"Monte Carlo methods for option pricing","level":3,"score":0.5605951547622681},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5118781328201294},{"id":"https://openalex.org/C2908647359","wikidata":"https://www.wikidata.org/wiki/Q2625603","display_name":"Population","level":2,"score":0.4980947971343994},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.4816514551639557},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4621167480945587},{"id":"https://openalex.org/C8880873","wikidata":"https://www.wikidata.org/wiki/Q187787","display_name":"Genetic algorithm","level":2,"score":0.453143447637558},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.40469789505004883},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.3428798317909241},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.28520259261131287},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.24614346027374268},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.10222980380058289},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07654297351837158},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.07143685221672058},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.06918394565582275},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C149923435","wikidata":"https://www.wikidata.org/wiki/Q37732","display_name":"Demography","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C144024400","wikidata":"https://www.wikidata.org/wiki/Q21201","display_name":"Sociology","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1109/wsc.2003.1261435","is_oa":false,"landing_page_url":"https://doi.org/10.1109/wsc.2003.1261435","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693)","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W1497256448","https://openalex.org/W1580120706","https://openalex.org/W1966268097","https://openalex.org/W1981113510","https://openalex.org/W1989729764","https://openalex.org/W1999996900","https://openalex.org/W2052635514","https://openalex.org/W2068928693","https://openalex.org/W2072556449","https://openalex.org/W2077791698","https://openalex.org/W2078719994","https://openalex.org/W2103104088","https://openalex.org/W2104955455","https://openalex.org/W2106154424","https://openalex.org/W2107136434","https://openalex.org/W2115865827","https://openalex.org/W2131929167","https://openalex.org/W2148905674","https://openalex.org/W2149214223","https://openalex.org/W2151065060","https://openalex.org/W2161097656","https://openalex.org/W2500917229","https://openalex.org/W2889626940","https://openalex.org/W3123064758","https://openalex.org/W4238864853","https://openalex.org/W6629610141","https://openalex.org/W6634400139","https://openalex.org/W6675862375","https://openalex.org/W7060987154"],"related_works":["https://openalex.org/W2408949929","https://openalex.org/W2785696775","https://openalex.org/W4230321065","https://openalex.org/W2116066518","https://openalex.org/W4380354347","https://openalex.org/W3125976968","https://openalex.org/W1479736437","https://openalex.org/W2152670057","https://openalex.org/W4304816570","https://openalex.org/W3089210157"],"abstract_inverted_index":{"I":[0,17,37,59,72],"examine":[1],"the":[2,9,56,61,65,80,84,94],"role":[3],"of":[4,11,93,96],"programming":[5,13],"parameters":[6],"in":[7],"determining":[8],"accuracy":[10],"genetic":[12,33,62,97],"for":[14,40],"option":[15,26,34],"pricing.":[16],"use":[18],"Monte":[19],"Carlo":[20],"simulations":[21],"to":[22,30,82],"generate":[23],"stock":[24,43],"and":[25,51,79],"price":[27,44],"data":[28,39],"needed":[29],"develop":[31],"a":[32,47,52,69],"pricing":[35],"program.":[36],"simulate":[38],"two":[41],"different":[42],"processes":[45],"-":[46],"geometric":[48],"Brownian":[49],"process":[50],"jump-diffusion":[53,57],"process.":[54],"In":[55],"setting,":[58],"seed":[60,83],"program":[63,85],"with":[64,86],"Black-Scholes":[66],"equation":[67],"as":[68],"starting":[70],"approximation.":[71],"find":[73],"that":[74],"population":[75],"size,":[76],"fitness":[77],"criteria,":[78],"ability":[81],"known":[87],"analytical":[88],"equations,":[89],"are":[90],"important":[91],"determinants":[92],"efficiency":[95],"programming.":[98]},"counts_by_year":[{"year":2015,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-02-25T21:11:00.739837","created_date":"2025-10-10T00:00:00"}