12 Pages Posted: 26 Jan 2016
Date Written: January 25, 2016
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 available, see PDF for details.
Suggested Citation: Suggested Citation
Alikhani, Malihe and Kjos-Hanssen, Bjørn and Pakravan, Amirarsalan and Saadat, Babak, Pricing Complexity Options (January 25, 2016). Algorithmic Finance 2015, 4:3-4, 127-137. Available at SSRN: https://ssrn.com/abstract=2722228