PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Online Trading Algorithms and Robust Option Pricing
Peter De Marzo, Ilan Kremer and Yishay Mansour
In: Online Trading Algorithms and Robust Option Pricing, May 21-23, 2006, Seattle, Washington, USA.

Abstract

In this work we show how to use efficient online trading algorithms to price the current value of financial instruments, such as an option. We derive both upper and lower bounds for pricing an option, using online trading algorithms. Our bounds depend on very minimal assumptions and are mainly derived assuming that there are \emph{no arbitrage} opportunities.

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EPrint Type:Conference or Workshop Item (Paper)
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Theory & Algorithms
ID Code:2469
Deposited By:Yishay Mansour
Deposited On:22 November 2006