System and method for option pricing using a modified black scholes option pricing model

An option valuation computer, the option evaluation computer comprising:

• a processor,
• a display device,
• a storage device, and
• a memory, the memory comprising software instructions, the software instructions comprising instructions for:
• determining an expected value of the option using the Black-Scholes model;
• adjusting the expected value by applying a factor to the expected value to reflect the propensity of the asset underlying the option to increase or decrease in value over time to determine the value of the option;
• and
• displaying the expected value as adjusted on the display device.

An option valuation server for valuing an option over a network, the option evaluation server comprising:

• a processor,
• a network to which the processor is connected,
• a storage device connected to the process, and
• a memory, the memory including software instructions, the software instructions comprising instructions for:
• receiving over the network information relating to an option as required to determining an expected value using the Black-Scholes model;
• adjusting the expected value by applying a factor to the expected value to reflect the propensity of the asset underlying the option to increase or decrease in value over time;
• returning the expected value of the option as adjusted over the network.