Did you even know it was a wig?! Valkyrie, played by Tessa Thompson, is Marvel's first LGBTQ character The wig worn by Tessa Thompson in Thor: Ragnarok cost $10,000. According to the Huffington Post, Thompson needed to wear the expensive wig because she was doing doing reshoots for the film while simultaneously starring in Sorry To Bother You, the latter requiring her to sport short, neon orange curls.