Applied Mathematical Sciences, vol. 8, 2014, no. 143, 7125 - 7135 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/10.12988/ams.2014.46424 A Genetic Algorithm to Price an European Put Option Using the Geometric Mean Reverting Model Joseph Ackora-Prah Department of Mathematics Kwame Nkrumah University of Science and Technology, Kumasi, Ghana Perpetual Saah Andam Department of Mathematics Kwame Nkrumah University of Science and Technology, Kumasi, Ghana Samuel Asante Gyamerah Department of Mathematics Kwame Nkrumah University of Science and Technology, Kumasi, Ghana Daniel Gyamfi Department of Mathematics Kwame Nkrumah University of Science and Technology, Kumasi, Ghana Copyright © 2014 Joseph Ackora-Prah et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribu- tion, and reproduction in any medium, provided the original work is properly cited. Abstract Evolutionary computation have been used in different areas of re- search in finance. The more the perfect price of option we obtain the more attractive it becomes to the investors. Investors have developed much interest in option investment but when the option is exercised at a wrong time, it can lead to massive loss for the investor. This paper is mainly focused on pricing a European put option when the underlying security price is geometric mean reverting with the assumption that the Girsanov change of measure has already been implemented and it has a constant interest rate. We provide a Genetic Algorithm which gives a