{"id":"https://openalex.org/W1972200306","doi":"https://doi.org/10.1145/1132516.1132586","title":"Online trading algorithms and robust option pricing","display_name":"Online trading algorithms and robust option pricing","publication_year":2006,"publication_date":"2006-05-21","ids":{"openalex":"https://openalex.org/W1972200306","doi":"https://doi.org/10.1145/1132516.1132586","mag":"1972200306"},"language":"en","primary_location":{"id":"doi:10.1145/1132516.1132586","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1132516.1132586","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the thirty-eighth annual ACM symposium on Theory of Computing","raw_type":"proceedings-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5060574841","display_name":"Peter M. DeMarzo","orcid":null},"institutions":[{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Peter DeMarzo","raw_affiliation_strings":["Stanford University"],"affiliations":[{"raw_affiliation_string":"Stanford University","institution_ids":["https://openalex.org/I97018004"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5045735744","display_name":"Ilan Kremer","orcid":null},"institutions":[{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Ilan Kremer","raw_affiliation_strings":["Stanford University"],"affiliations":[{"raw_affiliation_string":"Stanford University","institution_ids":["https://openalex.org/I97018004"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5014637159","display_name":"Yishay Mansour","orcid":"https://orcid.org/0000-0001-6891-2645"},"institutions":[{"id":"https://openalex.org/I16391192","display_name":"Tel Aviv University","ror":"https://ror.org/04mhzgx49","country_code":"IL","type":"education","lineage":["https://openalex.org/I16391192"]}],"countries":["IL"],"is_corresponding":false,"raw_author_name":"Yishay Mansour","raw_affiliation_strings":["Tel-Aviv University"],"affiliations":[{"raw_affiliation_string":"Tel-Aviv University","institution_ids":["https://openalex.org/I16391192"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5060574841"],"corresponding_institution_ids":["https://openalex.org/I97018004"],"apc_list":null,"apc_paid":null,"fwci":3.4986,"has_fulltext":false,"cited_by_count":58,"citation_normalized_percentile":{"value":0.91672548,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":94,"max":99},"biblio":{"volume":null,"issue":null,"first_page":"477","last_page":"486"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T12101","display_name":"Advanced Bandit Algorithms Research","score":0.9983999729156494,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11182","display_name":"Auction Theory and Applications","score":0.9948999881744385,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.6031317710876465},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.44694870710372925},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.40995049476623535},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.2547701597213745},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.1512312889099121}],"concepts":[{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6031317710876465},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.44694870710372925},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.40995049476623535},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.2547701597213745},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.1512312889099121}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/1132516.1132586","is_oa":false,"landing_page_url":"https://doi.org/10.1145/1132516.1132586","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the thirty-eighth annual ACM symposium on Theory of Computing","raw_type":"proceedings-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":39,"referenced_works":["https://openalex.org/W5220401","https://openalex.org/W114353221","https://openalex.org/W608863562","https://openalex.org/W1495743741","https://openalex.org/W1503295912","https://openalex.org/W1532945940","https://openalex.org/W1979675141","https://openalex.org/W1985077192","https://openalex.org/W1988790447","https://openalex.org/W1989990727","https://openalex.org/W1995106434","https://openalex.org/W2015501977","https://openalex.org/W2018055712","https://openalex.org/W2036636216","https://openalex.org/W2062304205","https://openalex.org/W2073242866","https://openalex.org/W2076798318","https://openalex.org/W2077791698","https://openalex.org/W2077902449","https://openalex.org/W2093825590","https://openalex.org/W2098612888","https://openalex.org/W2106658060","https://openalex.org/W2118877434","https://openalex.org/W2120499560","https://openalex.org/W2120702528","https://openalex.org/W2126776273","https://openalex.org/W2129432447","https://openalex.org/W2135730283","https://openalex.org/W2160509725","https://openalex.org/W2163191305","https://openalex.org/W2166536772","https://openalex.org/W2169198425","https://openalex.org/W2890406305","https://openalex.org/W2913962569","https://openalex.org/W3122955062","https://openalex.org/W3124264635","https://openalex.org/W4231057775","https://openalex.org/W4237883889","https://openalex.org/W4255572858"],"related_works":["https://openalex.org/W2748952813","https://openalex.org/W2051487156","https://openalex.org/W2073681303","https://openalex.org/W2390279801","https://openalex.org/W2358668433","https://openalex.org/W2376932109","https://openalex.org/W2001405890","https://openalex.org/W2382290278","https://openalex.org/W2478288626","https://openalex.org/W2350741829"],"abstract_inverted_index":{"In":[0],"this":[1],"work":[2],"we":[3],"show":[4],"how":[5],"to":[6,12],"use":[7],"efficient":[8],"online":[9,36],"trading":[10,37],"algorithms":[11],"price":[13],"the":[14],"current":[15],"value":[16],"of":[17],"financial":[18],"instruments,":[19],"such":[20],"as":[21],"an":[22,33],"option.":[23],"We":[24],"derive":[25],"both":[26],"upper":[27],"and":[28,45],"lower":[29],"bounds":[30,39],"for":[31],"pricing":[32],"option,":[34],"using":[35],"algorithms.Our":[38],"depend":[40],"on":[41],"very":[42],"minimal":[43],"assumptions":[44],"are":[46,52],"mainly":[47],"derived":[48],"assuming":[49],"that":[50],"there":[51],"no":[53],"arbitrage":[54],"opportunities.":[55]},"counts_by_year":[{"year":2023,"cited_by_count":2},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":8},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":5},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":3},{"year":2013,"cited_by_count":5},{"year":2012,"cited_by_count":5}],"updated_date":"2026-04-05T17:49:38.594831","created_date":"2025-10-10T00:00:00"}