G Vora | University of New Mexico (original) (raw)

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Papers by G Vora

Proceedings of the Thirty-First Hawaii International Conference on System Sciences

Proceedings of the Thirtieth Hawaii International Conference on System Sciences

We examine the performance of genetic algorithms as a method for deciding on a strategy to invest... more We examine the performance of genetic algorithms as a method for deciding on a strategy to invest in different financial instruments. We discuss the literature, pointing out the different methods for making investment decisions. We then describe genetic algorithms, linking them to the procedure used in this study. We then report on the results obtained in our experiments

J. OF FINANCIAL ENGINEERING, 1996

The Journal of Finance, 1983

Management Science, 1997

Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carl... more Monte Carlo simulation has been used to value options since Boyle's seminal paper. Monte Carlo simulation, however, has not been used to its fullest extent for option valuation because of the belief that the method is not feasible for American-style options. This paper demonstrates how to incorporate optimal early exercise in the Monte Carlo method of valuing options by linking forward-moving simulation and the backward-moving recursion of dynamic programming through an iterative search process. To demonstrate the potential of this method, we use it to value American-style options on the average price (or Asian options). The computational experience reveals a flexible valuation technique with potential for application to a range of securities and financial decision problems.