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    • 5. 发明申请
    • METHOD AND SYSTEM OF PRICING EXOTIC OPTIONS
    • 定价选项的方法和系统
    • US20090063358A1
    • 2009-03-05
    • US11631251
    • 2005-06-28
    • Kurt Smith
    • Kurt Smith
    • G06Q40/00
    • G06Q40/06G06Q40/04
    • A system for calculating a market value of an exotic option comprises an input means (102) for receiving market and option contract input data (112); a means (104) for calculating a theoretical value of an exotic option from the input data; a means (104) for calculating a market supplement adjustment to the theoretical value as a function of the expected stopping time of the exotic option; a means (104) for applying the market supplement adjustment to the theoretical value to produce the market value; and an output means (106) for outputting the calculated market value. The system may also calculate bid and offer prices from the market value. A method of obtaining the market value of an exotic option and a method of obtaining bid and offer prices of an exotic option are also disclosed.
    • 用于计算外币期权市场价值的系统包括用于接收市场和期权合约输入数据(112)的输入装置(102)。 用于根据输入数据计算外来选项的理论值的装置(104); 用于计算作为所述异常期权的预期停止时间的函数的理论值的市场补充调整的装置(104) 将市场补充调整应用于理论价值以产生市场价值的手段(104); 以及用于输出所计算的市场价值的输出装置(106)。 该系统还可以根据市场价格计算出价和报价。 还披露了获取外币期权市场价值的方法和获取外汇期权的买卖价格的方法。