Pricing complexity options

Malihe Alikhani, Bj{\o}rn Kjos-Hanssen, Amirarsalan Pakravan and Babak Saadat

Papers from arXiv.org

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.

Date: 2015-05, Revised 2016-03
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Published in Algorithmic Finance (2015), 4:3-4, 127-137

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1505.03587

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