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Option pricing method and system

An option and pricing technology, applied in the field of financial futures, can solve problems such as high algorithm time complexity and difficulty in realizing microsecond-level option pricing

Active Publication Date: 2019-10-25
上海金融期货信息技术有限公司
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  • Application Information

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Problems solved by technology

The BS pricing model needs to solve the differential equation, and the binary tree model needs to be solved recursively and iteratively. Therefore, if the parameters are directly substituted into these models for calculation, the time complexity of the algorithm is too high, and it is difficult to achieve microsecond-level option pricing

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  • Option pricing method and system
  • Option pricing method and system

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Embodiment Construction

[0095] The present invention will be described in detail below in conjunction with the accompanying drawings and specific embodiments. Note that the aspects described below in conjunction with the drawings and specific embodiments are only exemplary, and should not be construed as limiting the protection scope of the present invention.

[0096] The principle of the interpolation pricing method based on Taylor expansion of the present invention is: the theoretical price of the option is expanded twice using the Taylor formula, and the theoretical price of the option after expansion can be expressed as a quadratic polynomial about the risk value delta and gamma. Assuming that the delta and gamma of the option remain constant in an extreme time interval, a series of option theoretical prices can be pre-calculated using recent historical parameters, and the theoretical price can be calculated by linear interpolation when pricing options.

[0097] Specifically, the method of the pr...

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Abstract

The invention discloses an option pricing method and an option pricing system, which meet the high real-time requirement of option pricing and reduce the time complexity of a pricing algorithm. According to the technical scheme, a transaction stage is divided into a plurality of time slices, and the following data preparation stage and real-time pricing stage are carried out on each time slice; emptying the hash table; splitting the target asset price; traversing each split target asset price, substituting the split target asset price and the option execution price into an option pricing formula, and calculating a corresponding option theoretical price and a corresponding Greek letter risk value to obtain a preset vector; storing all the preset vectors in a hash table, and then entering areal-time pricing stage; receiving a current market price of the subject asset; searching a preset vector corresponding to the option theoretical value closest to the hash table in the hash table; andperforming Taylor interpolation calculation on the current market price of the subject assets, the option theoretical price and the corresponding preset vector, completing option pricing, and entering the processing of the next time slice until the end.

Description

technical field [0001] The invention relates to the field of financial futures, in particular to a pricing method and system suitable for an option trading software system. Background technique [0002] One of the most important uses of options is to manage risks. To effectively manage risks, options must be valued correctly. The process of calculating the theoretical price of options is usually called option pricing. In the option trading software system, option pricing is a core business process. At present, the commonly used option pricing models include "Black-Scholes" model (referred to as BS model), binary tree model and so on. [0003] The BS pricing model is the basis of option pricing and is mainly used to calculate the price of European options. In 1973, Black and Scholes published a classic paper on option pricing, "Option Pricing and Corporate Debt", in which they proposed the BS pricing model. The basic idea of ​​the BS option pricing method is that the price...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q30/02G06Q40/04
CPCG06Q30/0206G06Q40/04
Inventor 李思昌张勇方义张海荣高鹏
Owner 上海金融期货信息技术有限公司
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