Pricing complexity options

Malihe Alikhani, Bjørn Kjos-Hanssen (), Amirarsalan Pakravan and Babak Saadat
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Malihe Alikhani: Department of Computer Science, Rutgers, The State University of New Jersey,, Postal: Piscataway, NJ, USA
Bjørn Kjos-Hanssen: Department of Mathematics, University of Hawai‘i at Mánoa, Postal: Honolulu, HI, USA
Amirarsalan Pakravan: Department of Finance, George Washington University, Postal: Washington, DC, USA
Babak Saadat: Kash Co, Postal: West Hollywood, CA, USA

Algorithmic Finance, 2015, vol. 4, issue 3-4, 127-137

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.

Keywords: Automatic complexity; Kolmogorov complexity; options; option pricing (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:ris:iosalg:0041

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