METHOD AND SYSTEM OF PRICING EXOTIC OPTIONS
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United States of America Patent
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N/A
Issued Date -
Mar 5, 2009
app pub date -
Jun 28, 2005
filing date -
Jun 29, 2004
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A system for calculating a market value of an exotic option comprises an input means (102) for receiving market and option contract input data (112); a means (104) for calculating a theoretical value of an exotic option from the input data; a means (104) for calculating a market supplement adjustment to the theoretical value as a function of the expected stopping time of the exotic option; a means (104) for applying the market supplement adjustment to the theoretical value to produce the market value; and an output means (106) for outputting the calculated market value. The system may also calculate bid and offer prices from the market value. A method of obtaining the market value of an exotic option and a method of obtaining bid and offer prices of an exotic option are also disclosed.
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