{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,12,31]],"date-time":"2025-12-31T07:15:42Z","timestamp":1767165342092,"version":"build-2238731810"},"reference-count":16,"publisher":"Informa UK Limited","license":[{"start":{"date-parts":[[2007,2,11]],"date-time":"2007-02-11T00:00:00Z","timestamp":1171152000000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/creativecommons.org\/licenses\/by\/3.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Applied Mathematics and Decision Sciences"],"published-print":{"date-parts":[[2007,2,11]]},"abstract":"<jats:p>It has often been argued that there exists an underlying biological basis of utility \nfunctions. Taking this line of argument a step further in this paper, we have aimed \nto computationally demonstrate the biological basis of the Black-Scholes functional \nform as applied to classical option pricing and hedging theory. The evolutionary \noptimality of the classical Black-Scholes function has been computationally established\nby means of a haploid genetic algorithm model. The objective was to minimize the dynamic \nhedging error for a portfolio of assets that is built to replicate the payoff from a European \nmulti-asset option. The functional form that is seen to evolve over successive generations \nwhich best attains this optimization objective is the classical Black-Scholes function\nextended to a multiasset scenario.<\/jats:p>\n                  <jats:p>\n                    <jats:bold>Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function<\/jats:bold>\n                    <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"dx.doi.org\/10.1155\/2007\/36729\"\/>\n                  <\/jats:p>","DOI":"10.1155\/2007\/39460","type":"journal-article","created":{"date-parts":[[2007,3,5]],"date-time":"2007-03-05T07:55:19Z","timestamp":1173081319000},"page":"1-15","source":"Crossref","is-referenced-by-count":3,"title":["Computational Exploration of the Biological Basis of Black-Scholes Expected Utility Function"],"prefix":"10.1080","volume":"2007","author":[{"given":"Sukanto","family":"Bhattacharya","sequence":"first","affiliation":[]},{"given":"Kuldeep","family":"Kumar","sequence":"additional","affiliation":[]}],"member":"301","reference":[{"key":"2","year":"2005"},{"key":"3","doi-asserted-by":"publisher","DOI":"10.1086\/260062"},{"key":"4","doi-asserted-by":"publisher","DOI":"10.1006\/jeth.1996.0023"},{"key":"5","doi-asserted-by":"publisher","DOI":"10.1086\/322083"},{"issue":"3","key":"6","first-page":"817","volume":"14","year":"1976","journal-title":"Journal of Economic Literature"},{"key":"7","series-title":"Wiley Series in Financial Engineering","year":"1997"},{"key":"8","year":"1998"},{"key":"9","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(82)90011-3"},{"key":"10","doi-asserted-by":"publisher","DOI":"10.2307\/2330963"},{"key":"11","volume-title":"Making sense of hedge fund returns: a new approach","year":"2001"},{"key":"12","volume-title":"The evolution of portfolio insurance","year":"1988"},{"key":"13","series-title":"Monographs on Statistics and Applied Probability","first-page":"viii+275","year":"1985"},{"key":"15","first-page":"ix+183","year":"1975"},{"key":"16","year":"1989"},{"key":"17","year":"1987"},{"issue":"1","key":"18","doi-asserted-by":"crossref","first-page":"48","DOI":"10.3905\/jpm.1987.409131","volume":"14","year":"1987","journal-title":"The Journal of Portfolio Management"}],"updated-by":[{"DOI":"10.1155\/2007\/36729","type":"erratum","label":"Erratum","source":"publisher","updated":{"date-parts":[[2007,6,14]],"date-time":"2007-06-14T00:00:00Z","timestamp":1181779200000}}],"container-title":["Journal of Applied Mathematics and Decision Sciences"],"original-title":[],"language":"en","link":[{"URL":"http:\/\/downloads.hindawi.com\/archive\/2007\/039460.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"http:\/\/downloads.hindawi.com\/archive\/2007\/039460.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,8,8]],"date-time":"2024-08-08T10:23:35Z","timestamp":1723112615000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.hindawi.com\/journals\/ads\/2007\/039460\/abs\/"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2007,2,11]]},"references-count":16,"alternative-id":["039460","39460"],"URL":"https:\/\/doi.org\/10.1155\/2007\/39460","relation":{},"ISSN":["1173-9126","1532-7612"],"issn-type":[{"value":"1173-9126","type":"print"},{"value":"1532-7612","type":"electronic"}],"subject":[],"published":{"date-parts":[[2007,2,11]]}}}