Online trading algorithms and robust option pricing

Peter DeMarzo; Ilan Kremer; Yishay Mansour

doi:10.1145/1132516.1132586

Online trading algorithms and robust option pricing

Peter DeMarzo^*, Ilan Kremer, Yishay Mansour

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

35 Scopus citations

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 no arbitrage opportunities.

Original language	English
Title of host publication	STOC'06
Subtitle of host publication	Proceedings of the 38th Annual ACM Symposium on Theory of Computing
Publisher	Association for Computing Machinery
Pages	477-486
Number of pages	10
ISBN (Print)	1595931341, 9781595931344
DOIs	https://doi.org/10.1145/1132516.1132586
State	Published - 2006
Externally published	Yes
Event	38th Annual ACM Symposium on Theory of Computing, STOC'06 - Seattle, WA, United States Duration: 21 May 2006 → 23 May 2006

Publication series

Name	Proceedings of the Annual ACM Symposium on Theory of Computing
Volume	2006
ISSN (Print)	0737-8017

Conference

Conference	38th Annual ACM Symposium on Theory of Computing, STOC'06
Country/Territory	United States
City	Seattle, WA
Period	21/05/06 → 23/05/06

Keywords

Finance
Online Algorithms
Regret Minimization

Access to Document

10.1145/1132516.1132586

Cite this

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title = "Online trading algorithms and robust option pricing",

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 no arbitrage opportunities.",

keywords = "Finance, Online Algorithms, Regret Minimization",

author = "Peter DeMarzo and Ilan Kremer and Yishay Mansour",

year = "2006",

doi = "10.1145/1132516.1132586",

language = "אנגלית",

isbn = "1595931341",

series = "Proceedings of the Annual ACM Symposium on Theory of Computing",

publisher = "Association for Computing Machinery",

pages = "477--486",

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note = "38th Annual ACM Symposium on Theory of Computing, STOC'06 ; Conference date: 21-05-2006 Through 23-05-2006",

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DeMarzo, P, Kremer, I & Mansour, Y 2006, Online trading algorithms and robust option pricing. in STOC'06: Proceedings of the 38th Annual ACM Symposium on Theory of Computing. Proceedings of the Annual ACM Symposium on Theory of Computing, vol. 2006, Association for Computing Machinery, pp. 477-486, 38th Annual ACM Symposium on Theory of Computing, STOC'06, Seattle, WA, United States, 21/05/06. https://doi.org/10.1145/1132516.1132586

Online trading algorithms and robust option pricing. / DeMarzo, Peter; Kremer, Ilan; Mansour, Yishay.
STOC'06: Proceedings of the 38th Annual ACM Symposium on Theory of Computing. Association for Computing Machinery, 2006. p. 477-486 (Proceedings of the Annual ACM Symposium on Theory of Computing; Vol. 2006).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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Online trading algorithms and robust option pricing

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Keywords

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