Pricing complexity options

31 Mar 2016  ·  Alikhani Malihe, Kjos-Hanssen Bjørn, Pakravan Amirarsalan, Saadat Babak ·

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.

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