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Method and system for pricing financial derivatives
Method and system for pricing financial derivatives
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机译:金融衍生产品定价方法和系统
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摘要
A method for providing a bid price and our an offer price of an option relating to an underlying asset, the method including the steps of receiving first input data corresponding to a plurality of parameters defining the option, receiving second input data corresponding to a plurality of current market conditions relating to the underlying value, computing a corrected theoretical value (CTV) of the option based on the first and second input data, computing a bid / offer spread of the option based on the first and input data, computing a bid price and / our an offer price of the option based on the corrected TV and the bid / offer spread, and providing an output corresponding to the bid price and / or the offer price of said option.
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