IS THERE STILL ROOM FOR INCREASING SPEED IN ALGORITHMIC AND HIGH-FREQUENCY TRADING? THE CASE OF EUROPEAN OPTIONS PRICED IN THE HESTON MODEL
IS THERE STILL ROOM FOR INCREASING SPEED IN ALGORITHMIC AND HIGH-FREQUENCY TRADING? THE CASE OF EUROPEAN OPTIONS PRICED IN THE HESTON MODEL
Author(s): Arkadiusz OrzechowskiSubject(s): Business Economy / Management, International relations/trade, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: European options; the Heston model; Fourier transform;
Summary/Abstract: The purpose of the article was to investigate the possibility of increasing speed in transactions made within algorithmic and high-frequency trading. The analysis carried out for this purpose concerned the European options priced in the Heston model. Among issues being discussed, a new scheme of calculating Fourier and inverse Fourier transforms was proposed. It guarantees an increase of computational speed in relation to existing methods of generating final results.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 1
- Page Range: 35-44
- Page Count: 10
- Language: English