Pricing Complexity Options

12 Pages Posted: 26 Jan 2016  

Malihe Alikhani

Rutgers, The State University of New Jersey

Bjørn Kjos-Hanssen

University of Hawaii at Manoa

Amirarsalan Pakravan

George Washington University - Law School

Babak Saadat

Kash Co.

Date Written: January 25, 2016

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.

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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

Malihe Alikhani

Rutgers, The State University of New Jersey

311 North 5th Street
New Brunswick, NJ 08854
United States

Bjørn Kjos-Hanssen (Contact Author)

University of Hawaii at Manoa ( email )

2500 Campus Road
Honolulu, HI NA 96822
United States

Amirarsalan Pakravan

George Washington University - Law School

2000 H Street North West
Washington, DC 20052
United States

Babak Saadat

Kash Co.

West Hollywood, CA
United States

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