Option pricing model for event driven call and put options
AssigneeChicago Mercantile Exchange Inc.
InventorsDmitriy Glinberg, Landa Feliks
Life of this patent
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Abstract
Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.
Claims20
A computer-implemented method of valuing an event driven option, the method comprising:
- (a) storing in a memory module a model for the event driven option, the model comprising a jump diffusion based model that assumes arithmetic movement of an underlying price and a single jump;
- and
- (b) calculating by a processor the value of the event driven option with the model in (a).
A non-transitory computer-readable medium containing computer-executable instructions for causing a computer device to perform the steps of:
- (a) modeling an event driven option with a jump diffusion based model that assumes arithmetic movement and a single jump;
- and
- (b) calculating the value of the event driven option with the model in (a).
An apparatus that values an event driven option, the apparatus comprising:
- a computer-readable memory module that contains a model of an event driven option, the model comprising a jump diffusion based model that assumes arithmetic movement and a single jump;
- and
- a processor configured to receive event based option characteristic data and use the model of the event driven option to determine a value of the event driven option.
Dependencies are inferred from the claim text.