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标题：Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function
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作者：Sukanto Bhattacharya ; Kuldeep Kumar
期刊名称：Advances in Decision Sciences
印刷版ISSN：2090-3359
电子版ISSN：2090-3367
出版年度：2007
卷号：2007
DOI：10.1155/2007/39460
出版社：Hindawi Publishing Corporation
摘要：It has often been argued that there exists an underlying biological basis of utility functions. Taking this line of argument a step further in this paper, we have aimed to computationally demonstrate the biological basis of the Black-Scholes functional form as applied to classical option pricing and hedging theory. The evolutionary optimality of the classical Black-Scholes function has been computationally established by means of a haploid genetic algorithm model. The objective was to minimize the dynamic hedging error for a portfolio of assets that is built to replicate the payoff from a European multi-asset option. The functional form that is seen to evolve over successive generations which best attains this optimization objective is the classical Black-Scholes function extended to a multiasset scenario.