Market impact: a systematic study of the high frequency options market

Said, Emilio; Ayed, Ahmed Bel Hadj; Thillou, Damien; Rabeyrin, Jean-Jacques; Abergel, Frédéric

doi:10.1080/14697688.2020.1791948

Cited by 1 publication

(2 citation statements)

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“…Column 3displays the difference ratio, which denotes the percentage difference in pricing. Columns (4) and 5respectively indicate the time required for simulation under stochastic and constant volatility conditions. Monte Carlo simulation was performed using a personal computer with the following specifications: P4-3.4 GHz with 1 GB RAM.…”

Section: Differences In Pricing Between Constant-volatility Fsaos Andmentioning

confidence: 99%

“…Therefore, a set of faultless regulations and hedging tools is necessary to restrict the disturbance from HFT, avoid circuit breakers, and maintain global financial order. G20 leaders have aimed to avoid disturbances in interest rates and the foreign exchange derivatives market by committing to increasing transparency in derivatives markets through the implementation of mandatory reporting of derivatives contracts [4][5][6]. To address regulators' concerns and the potential threats of HFT, a forward-starting Asian option (FSAO) evaluation formula was developed in this study to cope with the potential instability of interest rates, equity, and commodity and foreign-exchange markets.…”

Section: Introductionmentioning

confidence: 99%

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Pricing of Arithmetic Asian Options under Stochastic Volatility Dynamics: Overcoming the Risks of High-Frequency Trading

2020

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This research extended the model developed by Hull and White by integrating Taylor-series expansion into the model for deriving approximate analytical solutions for stochastic volatility forward-starting Asian options. Numerical experiments were performed to compare the proposed model with the Monte Carlo model over numerous simulations and demonstrated that the developed model has a pricing accuracy greater than 99%. Furthermore, the computation time was approximately 10−5 s for each simulation. The model’s outstanding computational performance demonstrates its capability to address the challenges of high-frequency trading.

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Section: Differences In Pricing Between Constant-volatility Fsaos Andmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%