Device, method and system of pricing financial instruments

A computer-based method of pricing options, the method comprising:

• receiving, by a computing device, first input data corresponding to at least one parameter defining an option to be priced on an underlying asset;
• receiving, by the computing device, second input data corresponding to at least one current market condition relating to said underlying asset;
• and
• determining by the computing device, based on said first and second input data, a price of the option according to a pricing model,
• wherein the price of a first option according to the pricing model satisfies a first criterion and a second criterion, the first criterion relates to a sum of a first correction corresponding to the first option and a second correction corresponding to a second option, the second criterion relates to a difference between the first correction corresponding to the first option and the second correction corresponding to the second option,
• wherein the second option represents a position opposite to a position of the first option and has a same absolute delta value as the first option,
• wherein the first correction relates to a difference between the price of the first option according to the pricing model and a price of the first option according to a Black-Scholes model with an At-The-Money (ATM) volatility,
• and wherein the second correction relates to a difference between the price of the second option according to the pricing model and a price of the second option according to the Black-Scholes model with the ATM volatility.

A product including a non-transitory storage medium having stored thereon instructions that, when executed by a machine, result in:

• receiving first input data corresponding to at least one parameter defining an option to be priced on an underlying asset;
• receiving second input data corresponding to at least one current market condition relating to said underlying asset;
• and
• determining, based on said first and second input data, a price of the option according to a pricing model,
• wherein the price of a first option according to the pricing model satisfies a first criterion and a second criterion, the first criterion relates to a sum of a first correction corresponding to the first option and a second correction corresponding to a second option, the second criterion relates to a difference between the first correction corresponding to the first option and the second correction corresponding to the second option,
• wherein the second option represents a position opposite to a position of the first option and has a same absolute delta value as the first option,
• wherein the first correction relates to a difference between the price of the first option according to the pricing model and a price of the first option according to a Black-Scholes model with an At-The-Money (ATM) volatility,
• and wherein the second correction relates to a difference between the price of the second option according to the pricing model and a price of the second option according to the Black-Scholes model with the ATM volatility.