Hello everyone,
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 real-life.
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 exchange-traded 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..? (50-500x faster)
Thanks in advance
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