Pricing complexity options
classification
💱 q-fin.PR
cs.CCcs.FLmath.LO
keywords
complexityautomaticconsideroptionsamericandeficiencydowneuropean
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.