CN110334309A - Option data analysing method and device - Google Patents

Option data analysing method and device Download PDF

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CN110334309A
CN110334309A CN201910387751.6A CN201910387751A CN110334309A CN 110334309 A CN110334309 A CN 110334309A CN 201910387751 A CN201910387751 A CN 201910387751A CN 110334309 A CN110334309 A CN 110334309A
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不公告发明人
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Abstract

This application provides a kind of option data analysing method and devices, it is related to investment and risk management field, it include: the option data for obtaining exchange's server and providing, the option data include: the market data and the corresponding subject matter market data of the target option of target option;According to the market data and air control model, the implied volatility for obtaining the target option is calculated;According to the implied volatility and the market data, the theoretical prince and air control achievement data for obtaining the target option are calculated.It realizes and first obtains implied volatility, further calculates air control achievement data, enable and the price of option and risk management are effectively adjusted with the variation of the market data such as stability bandwidth.

Description

Option data analysing method and device
Technical field
This application involves investment and risk management technology fields, in particular to a kind of option data analysing method and Device.
Background technique
Option (Options) is a kind of right to choose, and the buyer of option just obtains to after the premium of the certain number of seller payments This right is obtained, that is, possesses and sells or buy within a certain period of time a certain number of subject matters with certain price (strike price) The right (i.e. option trade) of (physical goods, security or futures contract).During option trade, there are many uncertainties, The user for so participating in option trade is desirable to assess the reasonable price of option using certain methods, to carry out investment deal And risk management.
In the prior art, after the market data for obtaining option, market data can be handled using corresponding algorithm, and Processing result is obtained, user can carry out option trade with reference process result.
But current market data are analyzed the BS that only simple consideration historical quotes data carry out on textbook and are asked Solution, it is lower using method analysis time-consuming, the accuracy rate of the prior art if option contract quantity is more.
Summary of the invention
In view of this, the application's is designed to provide a kind of option data analysing method and device, it is existing for solving The data analysis problem that time-consuming, accuracy rate is low in technology.
In a first aspect, the application provides a kind of option data analysing method, comprising:
Obtain the option data that exchange's server provides, the option data include: the market data of target option with And the corresponding subject matter market data of the target option;
According to the option data and air control model, the implied volatility for obtaining the target option is calculated;
According to the implied volatility and the option data, the theoretical prince and air control for obtaining the target option are calculated Achievement data.
Second aspect, the application provide a kind of option data analysis set-up, comprising:
Module is obtained, for obtaining the option data of exchange's server offer, the option data include: target option Market data and the corresponding subject matter market data of the target option;
Computing module, for calculating the implicit wave for obtaining the target option according to the option data and air control model Dynamic rate;
Air control module, for calculating and obtaining the target option according to the implied volatility and the option data Theoretical prince and air control achievement data.
The third aspect, the application provide a kind of processing equipment, may include be stored with computer program computer-readable Storage medium and processor when the computer program is read and run by the processor, are realized described in above-mentioned first aspect Method.
Fourth aspect, the application propose a kind of computer readable storage medium, are stored thereon with computer program, the meter When calculation machine program is read out by the processor and runs, method described in above-mentioned first aspect is realized.
In the embodiment of the present application, the option data that exchange's server provides are obtained, according to above-mentioned option data and air control Model calculates the implied volatility for obtaining target option, and then according to implied volatility and option data, calculates and obtain above-mentioned mesh The theoretical prince and air control achievement data for marking option realize and first obtain implied volatility, calculate the reason for obtaining target option again It determines the price lattice and air control achievement data, it then can be according to the theoretical prince and air control achievement data of target option to target option It is assessed, enables and the price of option and risk management are effectively adjusted with the variation of the market data such as stability bandwidth.
Detailed description of the invention
Technical solution in ord to more clearly illustrate embodiments of the present application, below will be to needed in the embodiment attached Figure is briefly described, it should be understood that the following drawings illustrates only some embodiments of the application, therefore is not construed as pair The restriction of range for those of ordinary skill in the art without creative efforts, can also be according to this A little attached drawings obtain other relevant attached drawings.
Fig. 1 is finance data processing method application scenarios schematic diagram provided by the present application;
Fig. 2 is the option data analysing method flow diagram that one embodiment of the application provides;
Fig. 3 is the option data analysing method flow diagram that another embodiment of the application provides;
Fig. 4 is the option data analysing method flow diagram that another embodiment of the application provides;
Fig. 5 is the option data analysis set-up structural schematic diagram that one embodiment of the application provides;
Fig. 6 is the option data analysis set-up structural schematic diagram that another embodiment of the application provides;
Fig. 7 is the option data analysis set-up structural schematic diagram that another embodiment of the application provides;
Fig. 8 is the processing equipment structural schematic diagram that one embodiment of the application provides.
Specific embodiment
To keep the purposes, technical schemes and advantages of the embodiment of the present application clearer, below in conjunction with the embodiment of the present application In attached drawing, the technical scheme in the embodiment of the application is clearly and completely described, it should be understood that attached drawing in the application The purpose of illustration and description is only played, is not used to limit the protection scope of the application.In addition, it will be appreciated that schematical attached Figure does not press scale.Process used herein shows the behaviour realized according to some embodiments of the present application Make.It should be understood that the operation of flow chart can be realized out of order, the step of context relation of logic can not inverted suitable Sequence is implemented simultaneously.In addition, those skilled in the art are under the guide of teachings herein, can be added to flow chart one or Other multiple operations, can also remove one or more operations from flow chart.
Fig. 1 is finance data processing method application scenarios schematic diagram provided by the present application.This method can be applied to option, The transaction system of the financial products such as futures.By taking Fig. 1 as an example, which may include: exchange's server 01 and processing platform 02, It may include stock trader's server 03 between exchange's server 01 and processing platform 02.Wherein, processing platform 02 can be by servicing Device or other equipment for having processing capacity realize that the application is with no restriction.Option data that processing platform 02 is got, with And subsequent processing as a result, the equal computer, mobile phone, flat of being can be by the display such as client in terminal 04, the terminal 04 Plate computer etc..
Stock trader's server 03 can acquire related data, such as market data, fetched data etc. from exchange's server 01, And the data of acquisition can be sent to processing platform 02, so that processing platform 02 is handled, and then processing platform 02 is handled Trading instruction can be generated in complete obtained result, then is sent to exchange's server 01 by stock trader's server 03, completes transaction.
It should be noted that the external equipments such as processing platform 02 and stock trader's server 03, terminal 04 can use it is general Agreement is communicated, and can be communicated using customized proprietary protocol between the module inside processing platform 02, herein not Make concrete restriction.Wherein, which can use high-speed communication protocol.
Fig. 2 is the option data analysing method flow diagram that one embodiment of the application provides, the executing subject of this method It can be above-mentioned processing platform 02, as shown in Fig. 2, this method comprises:
S201, the option data that exchange's server provides are obtained.
The option data may include the market data and the corresponding subject matter market of the target option of target option Data.
Optionally, pass through the available a large amount of options of stock trader's server, futures and other financial products, financial derivatives Market data, fetched data etc., after obtaining these data, the market number for some target options paid close attention to can be filtered out According to, corresponding subject matter market data of target option etc..
More specifically, option data may include: exercise price, target price, actual volatility, option premium etc..
S202, evidence and air control model are weighed according to the above-mentioned departure date, calculates the implied volatility for obtaining target option.
Wherein, implied volatility (Implied Volatility) is by option or the substitution of warrant transaction value in the market Air control model, thus the fluctuation rate score being reversely pushed out.The selection of its air control model is mainly joined with trade mode, strategy and market It is related with person etc..
Optionally, air control model can be Black-Scholes Option Pricing Model Black-Scholes, for example, can be B-S model, Two Binomial Tree Model, Black76 model etc., the application are not limited system.
If seeking implied volatility using B-S model, default two are needed to estimate stability bandwidth value: high stability bandwidth σHAnd With the σHCorresponding option premium cH, low fluctuation ratio σLAnd σLCorresponding option premium cL, make Options market price cmIn cLAnd cH Between.
Further, using formulaIterate to calculate implied volatility, wherein σi+1 Indicate the implied volatility of i-th iteration, the value range of i can be the integer of [0,99].
Wherein, as c (σi+1)<cm, use σi+1Substitute σL, as c (σi+1)>cm, use σi+1Substitute σH, until | cm-c(σi+1)|≤ ε, at this time σi+1It is exactly required implied volatility.ε is permissible accuracy.
If fusing, bid=ask=lastprice;Else if bid*ask=0, cm=bid+ask;If AskSize≤1 or bidSize≤1, cm=(bid+ask)/2.Use commission amount weighting algorithm in addition to this.Wherein, Bid indicates buying price, and ask indicates selling price, and lastprice indicates newest valence.Number of share of stock is sold in askSize expression, and bidSize expression is bought Enter number of share of stock.
S203, according to implied volatility and option data, calculate the theoretical prince for obtaining above-mentioned target option and air control refer to Mark data.
It gets implied volatility and then combines option data, so that it may calculate the theoretical prince of option, air control refers to Data etc. are marked, user can judge the option of desired transaction according to theoretical prince, air control achievement data etc..
For example, it is also possible to calculate theoretical price using B-S model, in which:
C=Se-qτN(d1)-Xe-rτN(d2), p=Xe-rτN(-d2)-Se-qτN(-d1).C and p is theoretical prince, and c is to recognize The theoretical prince of option is purchased, p is the theoretical prince of Put Option.
N (x) indicates cumulative distribution function,ξ indicates integral Variable, S indicate target price, and X indicates strike price, and τ indicates the remaining survival phase, and r indicates risk free rate.
Q indicates that rate of dividend, σ indicate actual volatility, σ2Indicate annualized variance.
The parameter wherein specifically needed can be obtained from above-mentioned option data.
In addition, above-mentioned air control achievement data may include following one or more: Put Option price is to target price Derivative delta_p, derivative delta_c of the Call option price to target price, second dervative of the option premium to target price Gamma, option premium is to the derivative vega of stability bandwidth, and Call option is to the derivative theta_c of time, and Put Option is to the time Derivative theta_p, delta (measurement is change rate that theoretical options worth changes relative to target assets price) are to stability bandwidth Derivative vanna, vega to the derivative vomma of stability bandwidth, option premium is to the derivative rho, delta of interest rate to the derivative of time Charm, derivative rhoB etc. of the option premium to rate of dividend.
Wherein, delta_c=e-qτN(d1), delta_p=e-qτN((d1) -1),
In the present embodiment, the option data that exchange's server provides are obtained, according to above-mentioned option data and air control model, The implied volatility for obtaining target option is calculated, and then according to implied volatility and option data, calculates and obtains the above-mentioned target phase The theoretical prince and air control achievement data of power realize and first obtain implied volatility, calculate the theoretical valence for obtaining target option again Then lattice and air control achievement data can carry out target option according to the theoretical prince and air control achievement data of target option Assessment, enables and effectively adjusts to the price of option and risk management with the variation of the market data such as stability bandwidth.
In the application of some special screnes, in order to more accurately be analyzed, implicit interest rate of raising stocks can be introduced.Due to There are cost of borrowings for subject matter, if without adjustment, the Call option (call) closest to level values near level values it is implicit The implied volatility of stability bandwidth and the Put Option (put) closest to level values has a certain distance, to the quasi- of stability bandwidth curve Crossed belt carrys out large error.Although futures have basis risk without cost of borrowing, rises agio and also bring along error.It is implicit to raise stocks The effect of interest rate is exactly to eliminate cost of borrowing, and the implied volatility of the implied volatility and put that make the call near level values is substantially It is equal, more accurate matched curve.
Optionally, above-mentioned according to implied volatility and option data, calculate the theoretical prince and air control for obtaining target option Achievement data may include: to calculate according to the implied volatility, the option data and implicit interest rate of raising stocks and obtain institute State the theoretical prince and air control achievement data of target option.
Optionally, after introducing implicit interest rate of raising stocks, the theoretical prince of option can be expressed as c+Ke-rT=p+S0e-qT, In, K indicates exercise price, S0Indicate target beginning price, p indicates the theoretical prince of Put Option, and T indicates the remaining survival phase. It should be noted that here divide power q different from B-S model,Further, may be used To obtainThe difference of b expression risk free rate and rate of dividend.
It should be noted that the market data of above-mentioned target option may include: temporal information, pricing information.By target The market data of option substitute into air control model, calculate the implied volatility for obtaining current option, may is that and are believed according to the time Breath, pricing information and air control model calculate the implied volatility for obtaining target option.
Generally there are three dimensions for the market data of target option, in addition to above-mentioned temporal information, pricing information can also include Actual volatility.The actual volatility is different from implied volatility, and actual volatility is from exchange's server.
Correspondingly, then obtain exchange's server offer option data after, can be by actual volatility, implied volatility The corresponding queue of the target option is written, is calculated using the corresponding policing algorithm of the queue, acquisition strategy as a result, into And Policy Result can be sent to exchange's server and complete transaction.
One or more of wherein, Policy Result can indicate: strike a bargain, refuse list, partially strike a bargain, remove list etc..Wherein also It may include specific transaction data, such as x strands of conclusion of the business, per share concluded price are y member etc..
When specific implementation, first the market data of acquisition can be decoded, obtain the identifiable market number of processing platform According to then according to preset rules, actual volatility, implied volatility being dispatched to corresponding queue, each queue meeting Corresponding different policing algorithm, to obtain corresponding Policy Result.In scheduling process, random schedule can be, it can also basis The attribute of option corresponding to " actual volatility, implied volatility " is dispatched to corresponding queue, can specifically be pre-configured with option Mapping relations between attribute and policing algorithm, the application are not specifically limited.
Fig. 3 is the option data analysing method flow diagram that another embodiment of the application provides, as shown in figure 3, the party Method includes:
S301, the option data that exchange's server provides are obtained.
S302, above-mentioned option data are decoded using decoder, obtain decoded option data.
S303, according to above-mentioned decoded option data and air control model, calculate the implied volatility for obtaining target option.
S304, according to implied volatility and option data, calculate the theoretical prince for obtaining above-mentioned target option and air control refer to Mark data.
S305, the corresponding queue of the target option can be written into actual volatility, implied volatility, using the team It arranges corresponding policing algorithm to be calculated, acquisition strategy result.
S306, Policy Result is written to commission list, and can be according to above-mentioned theory price, air control achievement data etc. to committee Policy Result in support list is assessed, and completes to hand over by exchange's server is sent to by the Policy Result of risk assessment Easily.
Optionally, above-mentioned air control achievement data can also include implied volatility, fluctuation of actual volatility etc., Ke Yigen According to specific assessment, it needs to be determined that, the application is with no restriction.
Fig. 4 is the option data analysing method flow diagram that another embodiment of the application provides.
Further, above-mentioned air control achievement data may include: position air control data (dtv).Position can be used for readjusting prices.
Correspondingly, as shown in figure 4, this method comprises:
S401, the option data that exchange's server provides are obtained.
S402, according to above-mentioned option data and air control model, calculate the implied volatility for obtaining target option.
S403, according to implied volatility and option data, calculate the theoretical prince for obtaining above-mentioned target option and air control refer to Mark data.
S404, according to position air control data and price differential, adjust the theoretical prince of target option, obtain valence adjusted Lattice.
Position air control data and price differential (theo edge) are mainly related to following parameter: after implied volatility fitting Price, the fluctuation of actual volatility, contract correlation.
Wherein, the fitting of implied volatility can use: bilateral 3 order polynomial fitting, gradient decline fitting, grad enhancement One of decision tree fitting etc. algorithm, the application are not specifically limited.
Price adjusted may include: to do city's buying price (mm ask), do city's selling price (mm bid).
In the present embodiment, by adjusting the theoretical prince of target option according to position air control data and price differential, obtains and adjust Price after whole may be implemented to the bilateral quotation of option contract and when there is position air control data to the real-time dynamic of option valuation Adjustment.
Fig. 5 is the option data analysis set-up structural schematic diagram that one embodiment of the application provides, as shown in figure 5, the device It include: to obtain module 501, computing module 502 and air control module 503, in which:
Module 501 is obtained, for obtaining the option data of exchange's server offer, the option data include: target The market data of option.
Computing module 502, for calculating and obtaining the implicit of the target option according to the market data and air control model Stability bandwidth.
Air control module 503, for calculating and obtaining the target option according to the implied volatility and the market data Theoretical prince and air control achievement data.
In the present embodiment, the option data that exchange's server provides are obtained, according to above-mentioned market data and air control model, The implied volatility for obtaining target option is calculated, and then according to implied volatility and market data, calculates and obtains the above-mentioned target phase The theoretical prince and air control achievement data of power realize and first obtain implied volatility, calculate the theoretical valence for obtaining target option again Then lattice and air control achievement data can carry out target option according to the theoretical prince and air control achievement data of target option Assessment, to promote the accuracy of Assessment Based on Option.
Optionally, air control module 503, specifically for according to the implied volatility, the market data and implicit melting Certificate interest rate calculates the theoretical prince and air control achievement data for obtaining the target option.
In one embodiment, market data include: temporal information, pricing information.Computing module 502 is specifically used for according to institute Temporal information, the pricing information and air control model are stated, the implied volatility for obtaining the target option is calculated.
Fig. 6 is the option data analysis set-up structural schematic diagram that another embodiment of the application provides, as shown in fig. 6, in Fig. 5 On the basis of, it can also include: sending module 601.
Correspondingly, market data further include: actual volatility.
Computing module 502 is also used to the actual volatility, the implied volatility corresponding team of the target option is written Column, are calculated, acquisition strategy result using the corresponding policing algorithm of the queue.
Sending module 601, for the Policy Result to be sent to exchange's server.
Fig. 7 is the option data analysis set-up structural schematic diagram that another embodiment of the application provides, as shown in fig. 7, the dress Setting can also include: adjustment module 701.
Above-mentioned air control achievement data includes: position air control data.Correspondingly, module 701 is adjusted, for according to the position Air control data and price differential adjust the theoretical prince of the target option, obtain price adjusted.
It, can also be in addition, each functional unit in each embodiment of the application can integrate in one processing unit It is that each unit physically exists alone, can also be integrated in one unit with two or more units.
It should be noted that the above module can be arranged to implement the integrated electricity of one or more of above method Road, such as: one or more specific integrated circuit (Application Specific Integrated Circuit, abbreviations ASIC), or, one or more microprocessors (Digital Singnal Processor, abbreviation DSP), or, one or more A field programmable gate array (Field Programmable Gate Array, abbreviation FPGA) etc..For another example, when it is above some When module is realized by way of processing element scheduler program code, which can be general processor, such as center Processor (Central Processing Unit, abbreviation CPU) or it is other can be with the processor of caller code such as figure at It manages device (graphical processing unit, abbreviation GPU).For another example, these modules can integrate together, on piece system The form of system (System-on-a-chip, abbreviation SOC) is realized.
Fig. 8 is the processing equipment structural schematic diagram that one embodiment of the application provides, as shown in figure 8, the processing equipment includes:
It is stored with the computer readable storage medium 801 and processor 802 of computer program, processor 802 can call The computer program that computer readable storage medium 801 stores.It, can when the computer program is read and run by processor 802 To realize above method embodiment.Specific implementation is similar with technical effect, and which is not described herein again.
Optionally, the application also provides a computer readable storage medium, is stored thereon with computer program, the computer When program is read out by the processor and runs, above method embodiment may be implemented.
It is apparent to those skilled in the art that for convenience and simplicity of description, the system of foregoing description With the specific work process of device, the corresponding process in embodiment of the method can be referred to, is repeated no more in the application.In the application In provided several embodiments, it should be understood that disclosed systems, devices and methods, it can be real by another way It is existing.The apparatus embodiments described above are merely exemplary, for example, the division of the module, only a kind of logic function It can divide, there may be another division manner in actual implementation, in another example, multiple module or components can combine or can collect At another system is arrived, or some features can be ignored or not executed.Another point, shown or discussed mutual coupling Conjunction or direct-coupling or communication connection can be the indirect coupling or communication connection by some communication interfaces, device or module, It can be electrical property, mechanical or other forms.
The module as illustrated by the separation member may or may not be physically separated, aobvious as module The component shown may or may not be physical unit, it can and it is in one place, or may be distributed over multiple In network unit.It can select some or all of unit therein according to the actual needs to realize the mesh of this embodiment scheme 's.
The above is only the protection scopes of the specific embodiment of the application, but the application to be not limited thereto, any to be familiar with Those skilled in the art within the technical scope of the present application, can easily think of the change or the replacement, and should all cover Within the protection scope of the application.Therefore, the protection scope of the application should be subject to the protection scope in claims.

Claims (10)

1. a kind of option data analysing method characterized by comprising
The option data that exchange's server provides are obtained, the option data include: market data and the institute of target option State the corresponding subject matter market data of target option;
According to the option data and air control model, the implied volatility for obtaining the target option is calculated;
According to the implied volatility and the option data, the theoretical prince and air control index for obtaining the target option are calculated Data.
2. the method according to claim 1, wherein described according to the implied volatility and the option number According to calculating obtains the theoretical prince and air control achievement data of the target option, comprising:
According to the implied volatility, the option data and implicit interest rate of raising stocks, the reason for obtaining the target option is calculated It determines the price lattice and air control achievement data.
3. the method according to claim 1, wherein the market data of the target option include: temporal information, Pricing information;
It is described according to the option data and air control model, calculate the implied volatility for obtaining the target option, comprising:
According to the temporal information, the pricing information and air control model, the implied volatility for obtaining the target option is calculated.
4. according to the method described in claim 3, it is characterized in that, the market data of the target option further include: practical wave Dynamic rate;After the option data that the offer of exchange's server is provided, further includes:
The corresponding queue of the target option is written into the actual volatility, implied volatility, it is corresponding using the queue Policing algorithm is calculated, acquisition strategy result;
The Policy Result is sent to exchange's server.
5. the method according to claim 1, wherein the air control achievement data includes: position air control data;
It is described according to the implied volatility and the option data, calculate the theoretical prince and air control for obtaining the target option After achievement data, further includes:
According to the position air control data and price differential, the theoretical prince of the target option is adjusted, price adjusted is obtained.
6. a kind of option data analysis set-up characterized by comprising
Module is obtained, for obtaining the option data of exchange's server offer, the option data include: the row of target option Feelings data and the corresponding subject matter market data of the target option;
Computing module, for calculating the implied volatility for obtaining the target option according to the option data and air control model;
Air control module, for calculating the theory for obtaining the target option according to the implied volatility and the option data Price and air control achievement data.
7. device according to claim 6, which is characterized in that the air control module is specifically used for according to the implicit wave Dynamic rate, the option data and implicit interest rate of raising stocks, calculate the theoretical prince and air control index number for obtaining the target option According to.
8. device according to claim 6, which is characterized in that the market data of the target option include: temporal information, Pricing information;
The computing module is specifically used for being calculated described in obtaining according to the temporal information, the pricing information and air control model The implied volatility of target option.
9. device according to claim 8, which is characterized in that further include: sending module;
The market data of the target option further include: actual volatility;The computing module is also used to the practical fluctuation The corresponding queue of the target option is written in rate, implied volatility, is calculated, is obtained using the corresponding policing algorithm of the queue Take Policy Result;
The sending module, for the Policy Result to be sent to exchange's server.
10. device according to claim 6, which is characterized in that the air control achievement data includes: position air control data;
Described device further include: adjustment module;
The adjustment module, for adjusting the theoretical prince of the target option according to the position air control data and price differential, Obtain price adjusted.
CN201910387751.6A 2019-05-10 2019-05-10 Option data analysing method and device Pending CN110334309A (en)

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Cited By (3)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN111598697A (en) * 2020-05-20 2020-08-28 恒生电子股份有限公司 Option information processing method and related device
CN113312024A (en) * 2021-06-17 2021-08-27 中国人民解放军国防科技大学 Option pricing calculation hardware accelerator, accelerator card and computer equipment
CN113688297A (en) * 2021-08-12 2021-11-23 富途网络科技(深圳)有限公司 Option information display and analysis method, apparatus, device and storage medium

Cited By (5)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
CN111598697A (en) * 2020-05-20 2020-08-28 恒生电子股份有限公司 Option information processing method and related device
CN111598697B (en) * 2020-05-20 2023-08-18 恒生电子股份有限公司 Option information processing method and related equipment
CN113312024A (en) * 2021-06-17 2021-08-27 中国人民解放军国防科技大学 Option pricing calculation hardware accelerator, accelerator card and computer equipment
CN113312024B (en) * 2021-06-17 2022-05-24 中国人民解放军国防科技大学 Option pricing calculation hardware accelerator, accelerator card and computer equipment
CN113688297A (en) * 2021-08-12 2021-11-23 富途网络科技(深圳)有限公司 Option information display and analysis method, apparatus, device and storage medium

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