Friday, August 15, 2014

Automated Trading: AT01 SA01 cited by Monte Carlo pricing puts a downward bias on the option price

Abstract This thesis investigates pricing of options in a world beyond Black-Scholes. Primarily the Heston stochastic volatility model is exam- ined. This model is calibrated to S&P500 market data. With the obtained parameters as a starting point, we investigate the properties of the model and the behavior of option prices in the Heston framework.
When pricing European call options using Monte Carlo, our results indicate that the Monte Carlo pricing puts a downward bias on the option price, compared to the closed form price.

Automated Internet Trading Based On Optimized ... - SSRN

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by L Ingber - ‎2001 - ‎Cited by 5 - ‎Related articles
Sep 14, 2001 - We describe a real-time, internet-based S&P futures trading system, ... Keywords: Simulated Annealing, Statistical Mechanics, Trading ...

  • Automated internet trading based on optimized physics ...

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    Recursive and adaptive optimization using Adaptive Simulated Annealing (ASA) is used for fitting parameters shared across these shells of dynamic and trading ...
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    Max Dama on Automated Trading - DeCal

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    science, statistics, math, psychology, economics, business, operations research, and history. ..... If a stock starts at a price of p and then goes up x% then down x%, is its price greater than, less ..... The price of an option is directly related to its volatility. ..... will help, in simulated annealing you add some random amount to the ...



    The Penn-Lehman Automated Trading Project

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    by M Kearns - ‎2003 - ‎Cited by 89 - ‎Related articles
    The Penn-Lehman Automated Trading Project is a broad investigation of algorithms and ... The project centers around the Penn Exchange Simulator, which performs a stock market ... Average citations per article, 21.83 ..... This paper describes a simulated annealing based approach appropriate for negotiating such ...

  • Automated Internet Trading Based On Optimized Physics ...

    ssrn.com/abstract=283076
    Social Science Research Network
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    by L Ingber - ‎2001 - ‎Cited by 5 - ‎Related articles
    Sep 14, 2001 - We describe a real-time, internet-based S&P futures trading system, including a description of general aspects of ... Citations (3) ... Keywords: Simulated Annealing, Statistical Mechanics, Trading Financial Markets.

  • Adaptive Simulated Annealing (ASA)

    citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.198.1963
    by L Ingber - ‎Cited by 176 - ‎Related articles
    Include Citations ... Adaptive Simulated Annealing (ASA) is a C-language code developed to statistically find the best global fit of a nonlinear ... 5, Automated internet trading based on optimized physics models of markets - Ingber, Mondescu.
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    Max Dama on Automated Trading - DeCal

    www.decal.org/file/2945

    After finding a point where no parameter changes will help, in simulated annealing you add some random amount to the parameter value and see if it improves.

  • Does evolution ever make a species worse off? - Page 2 ...

    forumserver.twoplustwo.com › ... › Science, Math, and Philosophy

    Jul 18, 2013 - 15 posts - ‎6 authors
    ... parameter changes will help, in simulated annealing you add some random amount to the parameter value and see if it improves from there.

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