定价复杂性选项

IF 0.3 Q4 BUSINESS, FINANCE Algorithmic Finance Pub Date : 2015-05-14 DOI:10.3233/AF-150050

Malihe Alikhani, B. Kjos-Hanssen, Amirarsalan Pakravan, Babak Saadat

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引用次数: 1

摘要

我们考虑的期权支付的复杂性缺陷的序列上下跳动的股票在行使。我们研究了欧洲和美国版本的价格自动复杂性和理论上的Kolmogorov复杂性。我们还考虑运行复杂性，这是自动复杂性的一种受限形式。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Pricing Complexity Options

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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来源期刊

Algorithmic Finance BUSINESS, FINANCE-

CiteScore

0.40

自引率

0.00%

发文量

期刊介绍： Algorithmic Finance is both a nascent field of study and a new high-quality academic research journal that seeks to bridge computer science and finance. It covers such applications as: High frequency and algorithmic trading Statistical arbitrage strategies Momentum and other algorithmic portfolio management Machine learning and computational financial intelligence Agent-based finance Complexity and market efficiency Algorithmic analysis of derivatives valuation Behavioral finance and investor heuristics and algorithms Applications of quantum computation to finance News analytics and automated textual analysis.