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 proceedingConference contributionpeer-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 languageAmerican English
Title of host publicationSTOC'06
Subtitle of host publicationProceedings of the 38th Annual ACM Symposium on Theory of Computing
PublisherAssociation for Computing Machinery
Pages477-486
Number of pages10
ISBN (Print)1595931341, 9781595931344
DOIs
StatePublished - 2006
Externally publishedYes
Event38th Annual ACM Symposium on Theory of Computing, STOC'06 - Seattle, WA, United States
Duration: 21 May 200623 May 2006

Publication series

NameProceedings of the Annual ACM Symposium on Theory of Computing
Volume2006
ISSN (Print)0737-8017

Conference

Conference38th Annual ACM Symposium on Theory of Computing, STOC'06
Country/TerritoryUnited States
CitySeattle, WA
Period21/05/0623/05/06

Keywords

  • Finance
  • Online Algorithms
  • Regret Minimization

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