Journal
Scientific and technical journal of information technologies, mechanics and optics
UDK
Issue:2 (84)
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APPLICATION OF THEORETICAL OPTIONS PRICING TO ALGORITHMIC TRADING STRATEGIES
Annotation
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.
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