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STOC
2006
ACM

Online trading algorithms and robust option pricing

14 years 3 months ago
Online trading algorithms and robust option pricing
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 no arbitrage opportunities. General Terms Algorithms, Theory, Economics Categories and Subject Descriptors I.2.6 [Learning]; F.2.2 [Nonnumerical Algorithms]; J.4 [Economics] Keywords Finance, Online Algorithms, Regret Minimization
Peter DeMarzo, Ilan Kremer, Yishay Mansour
Added 03 Dec 2009
Updated 03 Dec 2009
Type Conference
Year 2006
Where STOC
Authors Peter DeMarzo, Ilan Kremer, Yishay Mansour
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