Pricing complexity options
Pricing of Securities
2016-04-01 v2 Computational Complexity
Formal Languages and Automata Theory
Logic
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
Cite
@article{arxiv.1505.03587,
title = {Pricing complexity options},
author = {Malihe Alikhani and Bjørn Kjos-Hanssen and Amirarsalan Pakravan and Babak Saadat},
journal= {arXiv preprint arXiv:1505.03587},
year = {2016}
}