Pricing Exotic Derivatives Using Regret Minimization
نویسندگان
چکیده
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 extend the work of [9], which used regret minimization to price the standard European call option, and demonstrate the applicability of regret minimization to derivative pricing.
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