Pricing Exotic Derivatives Using Regret Minimization


We price various financial instruments, which are classified as exotic options, using the regret bounds of an online algorithm. In addition, we derive a general result, which upper bounds the price of any derivative whose payoff is a convex function of the final asset price. The market model used is adversarial, making our price bounds robust. Our results… (More)
DOI: 10.1007/978-3-642-24829-0_24


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