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Method and system for pricing options

  • US 20030208430A1
  • Filed: 03/27/2003
  • Published: 11/06/2003
  • Est. Priority Date: 04/13/2000
  • Status: Active Grant
First Claim
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1. A method for providing a bid price and/or an offer price of an option on an underlying asset, comprising the steps of:

  • receiving first input data corresponding to a plurality of parameters defining said option;

    receiving second input data corresponding to a plurality of current market conditions relating to said underlying asset;

    computing a corrected theoretical value of said option based on said first and second input data;

    computing a bid/offer spread of said option based on said first and second input data;

    computing a bid price and/or an offer price of said option based on said corrected TV and said bid/offer spread;

    providing an output corresponding to the bid price and/or the offer price of said option.

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