Pricing exotic derivatives using regret minimization

Eyal Gofer; Yishay Mansour

doi:10.1007/978-3-642-24829-0_24

Pricing exotic derivatives using regret minimization

Eyal Gofer^*, Yishay Mansour

^*Corresponding author for this work

School of Computer Science

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

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 language	English
Title of host publication	Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings
Pages	266-277
Number of pages	12
DOIs	https://doi.org/10.1007/978-3-642-24829-0_24
State	Published - 2011
Event	4th International Symposium on Algorithmic Game Theory, SAGT 2011 - Amalfi, Italy Duration: 17 Oct 2011 → 19 Oct 2011

Publication series

Name	Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
Volume	6982 LNCS
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	4th International Symposium on Algorithmic Game Theory, SAGT 2011
Country/Territory	Italy
City	Amalfi
Period	17/10/11 → 19/10/11

Access to Document

10.1007/978-3-642-24829-0_24

Cite this

Gofer, E., & Mansour, Y. (2011). Pricing exotic derivatives using regret minimization. In Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings (pp. 266-277). (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 6982 LNCS). https://doi.org/10.1007/978-3-642-24829-0_24

@inproceedings{a13630a3e01b4be8aab6cc94cefa578a,

title = "Pricing exotic derivatives using regret minimization",

abstract = "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.",

author = "Eyal Gofer and Yishay Mansour",

note = "Funding Information: This research was supported in part by the Google Inter-university center for Electronic Markets and Auctions, by a grant from the Israel Science Foundation, by a grant from United States-Israel Binational Science Foundation (BSF), and by a grant from the Israeli Ministry of Science (MoS). This work is part of Ph.D. thesis research carried out by the first author at Tel Aviv University.; 4th International Symposium on Algorithmic Game Theory, SAGT 2011 ; Conference date: 17-10-2011 Through 19-10-2011",

year = "2011",

doi = "10.1007/978-3-642-24829-0_24",

language = "אנגלית",

isbn = "9783642248283",

series = "Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)",

pages = "266--277",

booktitle = "Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings",

}

Gofer, E & Mansour, Y 2011, Pricing exotic derivatives using regret minimization. in Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings. Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics), vol. 6982 LNCS, pp. 266-277, 4th International Symposium on Algorithmic Game Theory, SAGT 2011, Amalfi, Italy, 17/10/11. https://doi.org/10.1007/978-3-642-24829-0_24

Pricing exotic derivatives using regret minimization. / Gofer, Eyal; Mansour, Yishay.
Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings. 2011. p. 266-277 (Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics); Vol. 6982 LNCS).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Pricing exotic derivatives using regret minimization

AU - Gofer, Eyal

AU - Mansour, Yishay

N1 - Funding Information: This research was supported in part by the Google Inter-university center for Electronic Markets and Auctions, by a grant from the Israel Science Foundation, by a grant from United States-Israel Binational Science Foundation (BSF), and by a grant from the Israeli Ministry of Science (MoS). This work is part of Ph.D. thesis research carried out by the first author at Tel Aviv University.

PY - 2011

Y1 - 2011

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=80054034095&partnerID=8YFLogxK

U2 - 10.1007/978-3-642-24829-0_24

DO - 10.1007/978-3-642-24829-0_24

M3 - ???researchoutput.researchoutputtypes.contributiontobookanthology.conference???

AN - SCOPUS:80054034095

SN - 9783642248283

T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

SP - 266

EP - 277

BT - Algorithmic Game Theory - 4th International Symposium, SAGT 2011, Proceedings

T2 - 4th International Symposium on Algorithmic Game Theory, SAGT 2011

Y2 - 17 October 2011 through 19 October 2011

ER -

Pricing exotic derivatives using regret minimization

Abstract

Publication series

Conference

Access to Document

Other files and links

Fingerprint

Cite this