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Accelerated genetic algorithm solution of linear black-schole equation

Goal: develop a fast numerical method for solving the option pricing problems governed by the Black-Scholes equation using an accelerated genetic algorithm method .

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Yaseen Merzah Hemzah
added a research item
This paper introduced a new accelerated Genetic Algorithms (GAs) method to find a numerical solutions of stochastic Partial differential equations driven by space-time white nose wiener process . The numerical scheme is based on a representation of the solution of the equation involving a stochastic part arising from the noise and a deterministic partial differential equation . By using Doss-Sussmann transformation that enables us to work with a partial differential equation instead of the stochastic partial differential equation. Then compare these solutions obtained by our method with saul'yev method and deterministic solution.
Yaseen Merzah Hemzah
added a research item
In this research, the development of a fast numerical method was performed in order to solve the Option Pricing problems governed by the Black-Scholes equation using an accelerated genetic algorithm method. Where the Black-Scholes equation is a well known partial differential equation in financial mathematics. A discussion of the solutions was introduced for the linear Black-Scholes model with the European options (Call and Put) analytically and numerically ,with and without transformation to heat equation .Comparisons of the presented approximation solutions of these models with the exact solution were achieved.
Yaseen Merzah Hemzah
added an update
Project goal
develop a fast numerical method for solving the option pricing problems governed by the Black-Scholes equation using an accelerated genetic algorithm method .
Background and motivation
In this paper, we develop a fast numerical method for solving the option pricing problems governed by the Black-Scholes equation using an accelerated genetic algorithm method . Where the Black-Scholes equation is a well known partial differential equation in financial mathematics. We discuss the solutions for the linear Black-Scholes model with the European options (Call and Put) analytically and numerically ,with transformed to heat equation and without transformed and comparisons the approximation solutions of these models with the exact solution.