The Combinational Mutation Strategy of Differential Evolution Algorithm for Pricing Vanilla Options and Its Implementation on Data during Covid-19 Pandemic

Investors always want to know about the profit and the risk that they will be get before buying some assets. Our main focus is getting the profit and the probability of getting that profit using the differential evolution algorithm for vanilla option pricing on data before and during COVID-19 pandemic. Therefore, we model the pricing of an option using a bi-objective optimization problem using data before and during COVID-19 pandemic for one year expiration date. We change this problem into an optimization problem using adaptive weighted sum method. We use metaheuristics algorithm like Differential Evolution (DE) algorithm to solve this bi-objective optimization problems. In this paper, we also use modification of Differential Evolution for getting Pareto optimal solutions on vanilla option pricing for all contract. The algorithm is called Combinational Mutation Strategy of Differential Evolution (CmDE) algorithm. The results of our algorithm are satisfactory close to the real option price in the market data. Besides that, we also compare our result with the Black-Scholes results for validation. The results show that our results can approximate the real market options more accurate than Black-Scholes results. Hence, our bi-objective optimization using Combinational Mutation Strategy of Differential Evolution algorithm can be used to approximate the market real vanilla option pricing before and during COVID-19 pandemic

Applied Metaheuristic Computing

For decades, Applied Metaheuristic Computing (AMC) has been a prevailing optimization technique for tackling perplexing engineering and business problems, such as scheduling, routing, ordering, bin packing, assignment, facility layout planning, among others. This is partly because the classic exact methods are constrained with prior assumptions, and partly due to the heuristics being problem-dependent and lacking generalization. AMC, on the contrary, guides the course of low-level heuristics to search beyond the local optimality, which impairs the capability of traditional computation methods. This topic series has collected quality papers proposing cutting-edge methodology and innovative applications which drive the advances of AMC

Sustainable Supply Chain Management

The book is a collection of studies dedicated to different perspectives of three dimensions or pillars of the sustainability of supply chain and supply chain management - economic, environmental, and social - and other aspects related to performance evaluation, optimization, and modelling of and for sustainable supply chain management, and thus presents another valuable contribution to sustainable development and sustainable way of life

Proceedings of the XIII Global Optimization Workshop: GOW'16

[Excerpt] Preface: Past Global Optimization Workshop shave been held in Sopron (1985 and 1990), Szeged (WGO, 1995), Florence (GO’99, 1999), Hanmer Springs (Let’s GO, 2001), Santorini (Frontiers in GO, 2003), San José (Go’05, 2005), Mykonos (AGO’07, 2007), Skukuza (SAGO’08, 2008), Toulouse (TOGO’10, 2010), Natal (NAGO’12, 2012) and Málaga (MAGO’14, 2014) with the aim of stimulating discussion between senior and junior researchers on the topic of Global Optimization. In 2016, the XIII Global Optimization Workshop (GOW’16) takes place in Braga and is organized by three researchers from the University of Minho. Two of them belong to the Systems Engineering and Operational Research Group from the Algoritmi Research Centre and the other to the Statistics, Applied Probability and Operational Research Group from the Centre of Mathematics. The event received more than 50 submissions from 15 countries from Europe, South America and North America. We want to express our gratitude to the invited speaker Panos Pardalos for accepting the invitation and sharing his expertise, helping us to meet the workshop objectives. GOW’16 would not have been possible without the valuable contribution from the authors and the International Scientific Committee members. We thank you all. This proceedings book intends to present an overview of the topics that will be addressed in the workshop with the goal of contributing to interesting and fruitful discussions between the authors and participants. After the event, high quality papers can be submitted to a special issue of the Journal of Global Optimization dedicated to the workshop. [...

Operational Research IO2017, Valença, Portugal, June 28-30

This proceedings book presents selected contributions from the XVIII Congress of APDIO (the Portuguese Association of Operational Research) held in Valença on June 28–30, 2017. Prepared by leading Portuguese and international researchers in the field of operations research, it covers a wide range of complex real-world applications of operations research methods using recent theoretical techniques, in order to narrow the gap between academic research and practical applications. Of particular interest are the applications of, nonlinear and mixed-integer programming, data envelopment analysis, clustering techniques, hybrid heuristics, supply chain management, and lot sizing and job scheduling problems. In most chapters, the problems, methods and methodologies described are complemented by supporting figures, tables and algorithms. The XVIII Congress of APDIO marked the 18th installment of the regular biannual meetings of APDIO – the Portuguese Association of Operational Research. The meetings bring together researchers, scholars and practitioners, as well as MSc and PhD students, working in the field of operations research to present and discuss their latest works. The main theme of the latest meeting was Operational Research Pro Bono. Given the breadth of topics covered, the book offers a valuable resource for all researchers, students and practitioners interested in the latest trends in this field.info:eu-repo/semantics/publishedVersio