
Hello everyone,
Yes, I have read the forum guidelines, but I couldn't immediately find a similar discussion. I am doing my thesis on interpolating option prices and in light of my experiments I would like to ask some questions on how options are computed by market makers/arbitrage shops in reallife.
To be specific, I need to know when it matters to be able to efficiently compute option prices. I have given it some thought and perhaps some of you practitioners could help me.
1) Assuming the computations are correct, it is my understanding that the only situation where option pricing needs to be *fast*, is for exchangetraded options, i.e, vanilla European and American options.
2) With respect to 1), would it matter if you could efficiently price more exotic OTC options such as lookback, basket options, etc..? (50500x faster)
Thanks in advance 



ronin


Total Posts: 567 
Joined: May 2006 


> it is my understanding that the only situation where option pricing needs to be *fast*, is for exchangetraded options, i.e, vanilla European and American options
Exotics books can be very slow to calculate, either prices or risk numbers. Making them calc faster could be helpful.
On the other hand, there pretty much aren't any exotics books left. So it's not clear whom it would help particularly... 
"There is a SIX am?"  Arthur 
