Pricing exotic derivatives using regret minimization

Eyal Gofer*, Yishay Mansour

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review


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.

Original languageEnglish
Title of host publicationAlgorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings
Number of pages12
StatePublished - 2011
Event4th International Symposium on Algorithmic Game Theory, SAGT 2011 - Amalfi, Italy
Duration: 17 Oct 201119 Oct 2011

Publication series

NameLecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume6982 LNCS
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349


Conference4th International Symposium on Algorithmic Game Theory, SAGT 2011


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