APPLICATION OF THEORETICAL OPTIONS PRICING TO ALGORITHMIC TRADING STRATEGIES

A. V. Toropov, D. V. Ivanov, Y. A. Shpolyanskiy


Read the full article 

Abstract

We implemented analytical and numerical models of theoretical pricing for European, American, Asian and barrier options. An original computational approach is applied to the case of multiple payments of discrete dividends. The models are in the ground of the developed automatic strategies for algorithmic trading including those for market-making, hedging, risk management, and trading of combinations. These strategies are used successfully by large banks and trading firms.


Keywords: theoretical pricing, option, trading strategy, algorithmic trading
Copyright 2001-2017 ©
Scientific and Technical Journal
of Information Technologies, Mechanics and Optics.
All rights reserved.

Яндекс.Метрика