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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.

preprint2016arXivOpen access
Malihe AlikhaniBjørn Kjos-HanssenAmirarsalan PakravanBabak Saadat
math.LOq-fin.PRFormal Languages and Automata TheoryComputational Complexity
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Open access4 authors4 topics
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Malihe AlikhaniBjørn Kjos-HanssenAmirarsalan PakravanBabak Saadat

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