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... (read more)

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