Pricing complexity options
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Publication:4586430
DOI10.3233/AF-150050zbMath1395.91428arXiv1505.03587OpenAlexW3124966489MaRDI QIDQ4586430
Amirarsalan Pakravan, Babak Saadat, Malihe Alikhani, Bjørn Kjos-Hanssen
Publication date: 13 September 2018
Published in: Algorithmic Finance (Search for Journal in Brave)
Abstract: We consider options that pay the complexity deficiency of a sequence of up and down ticks of a stock upon exercise. We study the price of European and American versions of this option numerically for automatic complexity, and theoretically for Kolmogorov complexity. We also consider run complexity, which is a restricted form of automatic complexity.
Full work available at URL: https://arxiv.org/abs/1505.03587
Numerical methods (including Monte Carlo methods) (91G60) Analysis of algorithms and problem complexity (68Q25) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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