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.
