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Online trading algorithms and robust option pricing

Peter M. DeMarzo · Ilan Kremer · Yishay Mansour

56 citations0/0 files storedACM Symposium on Theory of Computing (STOC)

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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.

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References

1973The Pricing of Options and Corporate Liabilities 1997A Decision-Theoretic Generalization of On-Line Learning and an Application to Boosting 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1993Dynamic Asset Pricing Theory.2002The Nonstochastic Multiarmed Bandit Problem 2002The jump-risk premia implicit in options: evidence from an integrated time-series study 2003The Impact of Jumps in Volatility and Returns

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