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Option volatility automatic fitting method and system

An automatic fitting and volatility technology, which is applied in the fields of instruments, finance, and data processing applications, can solve problems such as reduction and option value reduction, and achieve the effect of liberating manual operations, low use threshold, and simple and clear parameters

Pending Publication Date: 2019-10-22
上海金融期货信息技术有限公司
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  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

If the market price of the underlying contract does not fall fast enough, the value of the option based on the underlying contract will decrease, because the probability of the market price of the underlying contract reaching the option exercise price is reduced

Method used

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  • Option volatility automatic fitting method and system
  • Option volatility automatic fitting method and system
  • Option volatility automatic fitting method and system

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Embodiment Construction

[0061] The present invention will be described in detail below in conjunction with the accompanying drawings and specific embodiments. Note that the aspects described below in conjunction with the drawings and specific embodiments are only exemplary, and should not be construed as limiting the protection scope of the present invention.

[0062] Figure 2A and 2B Together, it shows the flow of an embodiment of the automatic fitting method of option volatility of the present invention. See also Figure 2A and 2B , the implementation steps of the automatic fitting method in this embodiment are described in detail as follows.

[0063] Step S1: Select appropriate data from the given option series to form the implied volatility series required for the input of the fitting algorithm.

[0064] Firstly, choose the contract. An option series will be divided into two types: call option (CALL) and put option (PUT) according to the different expectations of the price change direction ...

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Abstract

The invention discloses an option volatility automatic fitting method and an option volatility automatic fitting system, which realize the automation of an option transaction whole process and improveavailability and usability of the transaction software. According to the technical scheme, the method comprises the steps of 1, selecting proper data from a given option series to form an implicit volatility sequence required by fitting algorithm input; 2, fitting the data with the implicit volatility sequence into volatility model parameters; and step 3, judging the effectiveness of the volatility model parameters.

Description

technical field [0001] The invention relates to an option transaction automation technology, in particular to an option volatility automatic fitting method and system. Background technique [0002] As an important risk management tool, financial derivatives are playing an increasingly critical role in the capital market. In recent years, my country's capital market has developed rapidly, commodity futures and options products have expanded rapidly, and trading varieties such as stock index financial derivatives and interest rate derivatives have also become more and more abundant. Among them, the development of option products is particularly prominent. The richness of option products has brought about The rapid growth of trading volume has also put forward higher requirements for related option trading software. [0003] The most important step in trading financial assets is to reasonably value and price the asset itself. After years of development, theoretical pricing algo...

Claims

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Application Information

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IPC IPC(8): G06Q40/04
CPCG06Q40/04
Inventor 王天一施嘉
Owner 上海金融期货信息技术有限公司
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