Related papers: Pricing complexity options
In this paper we provide a quantum Monte Carlo algorithm to solve multidimensional Black-Scholes PDEs with correlation for option pricing. The payoff function of the option is of general form and is only required to be continuous and…
The introduction of transaction costs into the theory of option pricing could lead not only to the change of return for options, but also to the change of the volatility. On the base of assumption of the portfolio analysis, a new equation…
Implicit Computational Complexity makes two aspects implicit, by manipulating programming languages rather than models of com-putation, and by internalizing the bounds rather than using external measure. We survey how automata theory…
A representative investor generates realistic and complex security price paths by following this trading strategy: if, a few ticks ago, the market asset had two consecutive upticks or two consecutive downticks, then sell, and otherwise buy.…
This article presents fast lower and upper estimates for a large class of options: the class of constrained multiple exercise American options. Typical options in this class are swing options with volume and timing constraints, and passport…
This study deals with the problem of pricing compound options when the underlying asset follows a mixed fractional Brownian motion with jumps. An analytic formula for compound options is derived under the risk neutral measure. Then, these…
Game (Israeli) options in a multi-asset market model with proportional transaction costs are studied in the case when the buyer is allowed to exercise the option and the seller has the right to cancel the option gradually at a mixed (or…
It is well known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion. In the present paper we consider the inverse problem, that is, given prices of perpetual American…
This is a chapter in the Encyclopedia of Robotics. It is devoted to the study of complexity of complete (or exact) algorithms for robot motion planning. The term ``complete'' indicates that an approach is guaranteed to find the correct…
The determinisation problem for min-plus (tropical) weighted automata was recently shown to be decidable. However, the proof is purely existential, relying on several non-constructive arguments. Our contribution in this work is twofold:…
We consider the problem of pricing American Exchange options driven by a L\'evy process. We study the properties of American Exchange options, we represented it as the sum of the price of the corresponding European exchange option price and…
In this paper we analyze the notion of "stopping time complexity", informally defined as the amount of information needed to specify when to stop while reading an infinite sequence. This notion was introduced by Vovk and Pavlovic (2016). It…
This paper initiates a study into the century-old issue of market predictability from the perspective of computational complexity. We develop a simple agent-based model for a stock market where the agents are traders equipped with simple…
We study in which way Kolmogorov complexity and instance complexity affect properties of r.e. sets. We show that the well-known 2log n upper bound on the Kolmogorov complexity of initial segments of r.e.\ sets is optimal and characterize…
The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian…
Dynamic complexity is concerned with updating the output of a problem when the input is slightly changed. We study the dynamic complexity of two-player parity games over graphs of bounded tree-width, where updates may add or delete edges,…
Randomness extraction is the process of constructing a source of randomness of high quality from one or several sources of randomness of lower quality. The problem can be modeled using probability distributions and min-entropy to measure…
Link prediction in graphs is an important task in the fields of network science and machine learning. We investigate a flexible means of regularization for link prediction based on an approximation of the Kolmogorov complexity of graphs…
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small…
The literature on volatility modelling and option pricing is a large and diverse area due to its importance and applications. This paper provides a review of the most significant volatility models and option pricing methods, beginning with…