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Pricing complexity options

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.

9 nodes8 linksoverview mapPricing complexity options
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Pricing complexity options9 visible / 9 total nodes / 14 links
Co-authorshipCo-authorshipCo-authorshipCo-authorshipCo-authorshipCo-authorshipAuthorshipAuthorshipAuthorshipAuthorshipTopic signalTopic signalTopic signalTopic signalWPricing complexity optionspreprint / 2016AMalihe AlikhaniResearcherABjørn Kjos-HanssenResearcherAAmirarsalan PakravanResearcherABabak SaadatResearcherTComputational Complexity1354 worksTmath.LO1661 worksTFormal Languages and Au...714 worksTq-fin.PR204 works
PaperSignal 108 links

Pricing complexity options

preprint / 2016

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