Up: 4:3-4

Pricing complexity options

Malihe Alikhani; Bjørn Kjos-Hanssen; Amirarsalan Pakravan; Babak Saadat

Algorithmic Finance (2015), 4:3-4, 127-137
DOI: 10.3233/AF-150050

Published: Abstract, PDF.
Archived: SSRN.

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.

Enhanced Content

The Complexity Option Game

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California Institute of Technology

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University of Lugano

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University of California, San Diego

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