Fair-value pricing of a financial asset

A computerized method for determining at an effective valuation time a fair value of a futures contract based on an equity index comprising a plurality of securities, each of said plurality of securities having a weighting in said equity index, comprising:

• for each security in said equity index:
• electronically receiving historical price data, wherein said historical price data comprises data for a plurality of price-related time-dependent variables;
• electronically performing a regression analysis on said historical price data;
• electronically calculating at said effective valuation time a fair value of said security based on said regression analysis and on values of one or more of said plurality of price-related time-dependent variables;
• electronically multiplying said fair value by said security's weighting in said equity index to obtain a weighted fair value;
• aggregating said weighted fair values of each of said plurality of securities in said equity index to obtain an adjustment factor for said equity index;
• and
• applying said adjustment factor to a market settlement price of said futures contract at a time when at least one security in said equity index is not currently traded in a liquid market,
• wherein the steps of electronically receiving, performing, calculating, and multiplying are processed on a computer system.

A computerized method for determining at an effective valuation time a fair value of an option based on a security, comprising:

• electronically receiving historical price data for said security, wherein said historical price data comprises data for a plurality of price-related time-dependent variables;
• electronically performing a regression analysis on said historical price data;
• electronically calculating at said effective valuation time a fair value of said security based on said regression analysis and on values of one or more of said plurality of price-related time-dependent variables;
• electronically calculating an implied volatility for said option;
• and
• calculating a price for said option based on said implied volatility and said fair value of said security at a time when said security is not currently traded on a liquid market,
• wherein the steps of electronically receiving, performing, and calculating are processed on a computer system.

A computerized method for determining at an effective valuation time a fair value of a market-traded fixed income security, comprising:

• receiving historical price data, wherein said historical price data comprises data for a plurality of price-related time-dependent variables;
• performing a regression analysis on said historical price data;
• and
• calculating at said effective valuation time a fair value of said market-traded fixed income security based on said regression analysis and on values of one or more of said plurality of price-related time-dependent variables, said effective valuation time occurring when said market-traded fixed income security is not currently trading in a liquid market;
• wherein the steps of electronically receiving, performing, and calculating are processed on a computer system comprising one or more processors.