CA2786175C - Device, method and system of pricing financial instruments - Google Patents

Device, method and system of pricing financial instruments Download PDF

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Publication number
CA2786175C
CA2786175C CA2786175A CA2786175A CA2786175C CA 2786175 C CA2786175 C CA 2786175C CA 2786175 A CA2786175 A CA 2786175A CA 2786175 A CA2786175 A CA 2786175A CA 2786175 C CA2786175 C CA 2786175C
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CA
Canada
Prior art keywords
option
price
delta
volatility
correction
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Active
Application number
CA2786175A
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English (en)
French (fr)
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CA2786175A1 (en
Inventor
David Gershon
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
SuperDerivatives Inc
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SuperDerivatives Inc
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Publication date
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Publication of CA2786175A1 publication Critical patent/CA2786175A1/en
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Publication of CA2786175C publication Critical patent/CA2786175C/en
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Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

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  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Development Economics (AREA)
  • Technology Law (AREA)
  • Theoretical Computer Science (AREA)
  • Strategic Management (AREA)
  • Economics (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Marketing (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Game Theory and Decision Science (AREA)
  • Human Resources & Organizations (AREA)
  • Operations Research (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)
CA2786175A 2010-01-04 2011-01-04 Device, method and system of pricing financial instruments Active CA2786175C (en)

Applications Claiming Priority (3)

Application Number Priority Date Filing Date Title
US29194210P 2010-01-04 2010-01-04
US61/291,942 2010-01-04
PCT/IB2011/050026 WO2011080727A2 (en) 2010-01-04 2011-01-04 Device, method and system of pricing financial instruments

Publications (2)

Publication Number Publication Date
CA2786175A1 CA2786175A1 (en) 2011-07-07
CA2786175C true CA2786175C (en) 2022-08-23

Family

ID=44225309

Family Applications (1)

Application Number Title Priority Date Filing Date
CA2786175A Active CA2786175C (en) 2010-01-04 2011-01-04 Device, method and system of pricing financial instruments

Country Status (8)

Country Link
US (4) US8626630B2 (cg-RX-API-DMAC7.html)
EP (1) EP2522000A4 (cg-RX-API-DMAC7.html)
JP (2) JP5596795B2 (cg-RX-API-DMAC7.html)
AU (1) AU2011203381A1 (cg-RX-API-DMAC7.html)
CA (1) CA2786175C (cg-RX-API-DMAC7.html)
IL (1) IL220774A0 (cg-RX-API-DMAC7.html)
SG (1) SG182306A1 (cg-RX-API-DMAC7.html)
WO (1) WO2011080727A2 (cg-RX-API-DMAC7.html)

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US10282783B2 (en) 2013-03-13 2019-05-07 Intercontinental Exchange Holdings, Inc. System and method for processing a trade order
US20150012462A1 (en) * 2013-06-20 2015-01-08 Chicago Mercantile Exchange Inc. Blending Methodology for Settling Swaption Volatility Cube and Prices
TWI587234B (zh) * 2014-01-28 2017-06-11 國立中山大學 美式上限失效障礙型賣權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
TWI564833B (zh) * 2014-01-28 2017-01-01 國立中山大學 美式下限失效障礙型賣權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
TWI502534B (zh) * 2014-01-28 2015-10-01 Univ Nat Sun Yat Sen 美式下限失效障礙型買權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
US20150379633A1 (en) * 2014-06-27 2015-12-31 Chicago Mercantile Exchange Inc. Implied Volatility Futures Product
US11216874B2 (en) * 2017-03-09 2022-01-04 Jpmorgan Chase Bank, N.A. Method and system for aggregating foreign exchange measures
RU178757U1 (ru) * 2017-04-26 2018-04-18 Алексей Борисович Ситкин Устройство для расчета цены
CN110363664A (zh) * 2019-07-23 2019-10-22 上海金融期货信息技术有限公司 一种期权波动率自动拟合方法和系统
CN110400199A (zh) * 2019-07-26 2019-11-01 中国工商银行股份有限公司 交易处理方法、交易处理装置、电子设备和介质
JP7699356B2 (ja) * 2021-09-22 2025-06-27 株式会社メルカリ システム、情報処理方法及びプログラム
US20250069140A1 (en) * 2023-03-27 2025-02-27 OptionColors, Inc. Systems and methods for transforming option attributes for risk analysis, directional forecasting, and generating personalized trade ideas

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IL161353A0 (en) * 2001-10-13 2004-09-27 Superderivatives Inc Method and system for pricing financial derivatives
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JP2008505409A (ja) 2004-06-29 2008-02-21 カーティン ユニバーシティ オブ テクノロジー 非標準型オプションを価格付ける方法及びシステム
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Also Published As

Publication number Publication date
EP2522000A2 (en) 2012-11-14
JP2014222543A (ja) 2014-11-27
US8626630B2 (en) 2014-01-07
JP2013516672A (ja) 2013-05-13
IL220774A0 (en) 2012-08-30
US20110167023A1 (en) 2011-07-07
CA2786175A1 (en) 2011-07-07
US20130103613A1 (en) 2013-04-25
WO2011080727A3 (en) 2011-08-25
US20160335720A1 (en) 2016-11-17
SG182306A1 (en) 2012-08-30
EP2522000A4 (en) 2013-08-14
US8620792B2 (en) 2013-12-31
WO2011080727A2 (en) 2011-07-07
JP5596795B2 (ja) 2014-09-24
US20140172670A1 (en) 2014-06-19
AU2011203381A1 (en) 2012-08-16

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EEER Examination request

Effective date: 20151215