Weizmann Logo
ECCC
Electronic Colloquium on Computational Complexity

Under the auspices of the Computational Complexity Foundation (CCF)

Login | Register | Classic Style



REPORTS > KEYWORD > COMPUTATIONAL FINANCE:
Reports tagged with computational finance:
TR14-013 | 30th January 2014
Mark Braverman, Kanika Pasricha

The computational hardness of pricing compound options

It is generally assumed that you can make a financial asset out of any underlying event or combination thereof, and then sell a security. We show that while this is theoretically true from the financial engineering perspective, compound securities might be intractable to price. Even given no information asymmetries, or ... more >>>




ISSN 1433-8092 | Imprint