{"id":"https://openalex.org/W1965860014","doi":"https://doi.org/10.1145/2554797.2554809","title":"The computational hardness of pricing compound options","display_name":"The computational hardness of pricing compound options","publication_year":2014,"publication_date":"2014-01-12","ids":{"openalex":"https://openalex.org/W1965860014","doi":"https://doi.org/10.1145/2554797.2554809","mag":"1965860014"},"language":"en","primary_location":{"id":"doi:10.1145/2554797.2554809","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2554797.2554809","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th conference on Innovations in theoretical computer science","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/A5042816355","display_name":"Mark Braverman","orcid":"https://orcid.org/0000-0003-1276-6081"},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Mark Braverman","raw_affiliation_strings":["Princeton University, Princeton, NJ, USA","Princeton University , Princeton, NJ, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University, Princeton, NJ, USA","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Princeton University , Princeton, NJ, USA","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060912950","display_name":"Kanika Pasricha","orcid":null},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Kanika Pasricha","raw_affiliation_strings":["Princeton Unviersity, Princeton, NJ, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton Unviersity, Princeton, NJ, USA","institution_ids":["https://openalex.org/I20089843"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.8414,"has_fulltext":false,"cited_by_count":6,"citation_normalized_percentile":{"value":0.8684947,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"103","last_page":"104"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9968000054359436,"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"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9968000054359436,"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/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9944999814033508,"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/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9670000076293945,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/oracle","display_name":"Oracle","score":0.8008739352226257},{"id":"https://openalex.org/keywords/compounding","display_name":"Compounding","score":0.6232532858848572},{"id":"https://openalex.org/keywords/asian-option","display_name":"Asian option","score":0.5852134227752686},{"id":"https://openalex.org/keywords/computational-complexity-theory","display_name":"Computational complexity theory","score":0.5829272270202637},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5586557388305664},{"id":"https://openalex.org/keywords/asset","display_name":"Asset (computer security)","score":0.5010011196136475},{"id":"https://openalex.org/keywords/perspective","display_name":"Perspective (graphical)","score":0.48238077759742737},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.41895413398742676},{"id":"https://openalex.org/keywords/valuation-of-options","display_name":"Valuation of options","score":0.34567731618881226},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.3404734134674072},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.2925945222377777},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.26323097944259644},{"id":"https://openalex.org/keywords/computer-security","display_name":"Computer security","score":0.22653555870056152},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.15550994873046875},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.14073583483695984},{"id":"https://openalex.org/keywords/machine-learning","display_name":"Machine learning","score":0.094464510679245}],"concepts":[{"id":"https://openalex.org/C55166926","wikidata":"https://www.wikidata.org/wiki/Q2892946","display_name":"Oracle","level":2,"score":0.8008739352226257},{"id":"https://openalex.org/C207673951","wikidata":"https://www.wikidata.org/wiki/Q1303150","display_name":"Compounding","level":2,"score":0.6232532858848572},{"id":"https://openalex.org/C1898038","wikidata":"https://www.wikidata.org/wiki/Q728255","display_name":"Asian option","level":3,"score":0.5852134227752686},{"id":"https://openalex.org/C179799912","wikidata":"https://www.wikidata.org/wiki/Q205084","display_name":"Computational complexity theory","level":2,"score":0.5829272270202637},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5586557388305664},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5010011196136475},{"id":"https://openalex.org/C12713177","wikidata":"https://www.wikidata.org/wiki/Q1900281","display_name":"Perspective (graphical)","level":2,"score":0.48238077759742737},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.41895413398742676},{"id":"https://openalex.org/C194483076","wikidata":"https://www.wikidata.org/wiki/Q380382","display_name":"Valuation of options","level":2,"score":0.34567731618881226},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.3404734134674072},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2925945222377777},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.26323097944259644},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.22653555870056152},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.15550994873046875},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.14073583483695984},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.094464510679245},{"id":"https://openalex.org/C159110408","wikidata":"https://www.wikidata.org/wiki/Q121176","display_name":"Nursing","level":1,"score":0.0},{"id":"https://openalex.org/C115903868","wikidata":"https://www.wikidata.org/wiki/Q80993","display_name":"Software engineering","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1145/2554797.2554809","is_oa":false,"landing_page_url":"https://doi.org/10.1145/2554797.2554809","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Proceedings of the 5th conference on Innovations in theoretical computer science","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":8,"referenced_works":["https://openalex.org/W201917955","https://openalex.org/W2074925781","https://openalex.org/W2150966142","https://openalex.org/W2152027968","https://openalex.org/W2152080609","https://openalex.org/W2154433986","https://openalex.org/W2158785006","https://openalex.org/W3123837251"],"related_works":["https://openalex.org/W2470695085","https://openalex.org/W3034965081","https://openalex.org/W2909024759","https://openalex.org/W3201761445","https://openalex.org/W2562435088","https://openalex.org/W1563977330","https://openalex.org/W2372394234","https://openalex.org/W1572306738","https://openalex.org/W2896279455","https://openalex.org/W2998821303"],"abstract_inverted_index":{"It":[0],"is":[1,29,95,106,120],"generally":[2],"assumed":[3],"that":[4,26,81,112],"you":[5],"can":[6],"make":[7],"a":[8,22,59,89],"financial":[9,34],"asset":[10],"out":[11],"of":[12,84,102,129],"any":[13],"underlying":[14,104],"event":[15],"or":[16,49],"combination":[17],"thereof,":[18],"and":[19,63],"then":[20],"sell":[21],"security.":[23],"We":[24,79,109],"show":[25,111],"while":[27],"this":[28],"theoretically":[30],"true":[31],"from":[32],"the":[33,64,73,82,100,103,114,127],"engineering":[35],"perspective,":[36],"compound":[37],"securities":[38,131],"might":[39,53,68],"be":[40,54],"intractable":[41,56],"to":[42,57,72,122],"price.":[43],"Even":[44],"given":[45],"no":[46],"information":[47],"asymmetries,":[48],"adversarial":[50],"sellers,":[51],"it":[52],"computationally":[55,107],"put":[58],"value":[60],"on":[61,88],"these,":[62],"associated":[65],"computational":[66],"complexity":[67,128],"afford":[69],"an":[70,86],"advantage":[71],"party":[74],"with":[75,92],"more":[76],"compute":[77],"power.":[78],"prove":[80],"problem":[83],"pricing":[85,130],"option":[87],"single":[90],"security":[91,105],"unbounded":[93],"compounding":[94,119],"PSPACE":[96],"hard,":[97],"even":[98,117],"when":[99,118],"behavior":[101],"tractable.":[108],"also":[110],"in":[113,134],"oracle":[115],"model,":[116],"limited":[121],"at":[123],"most":[124],"k":[125],"layers,":[126],"grows":[132],"exponentially":[133],"k.":[135]},"counts_by_year":[{"year":2020,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":4}],"updated_date":"2026-06-11T09:08:48.828518","created_date":"2025-10-10T00:00:00"}