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Except quotation method, apparatus and device, and readable storage medium

An option and price technology, applied in the field of option quotation methods, equipment, readable storage media, and devices, can solve the problems of restricting the demand for quotations by branches, difficult to meet the demand for real-time quotations, and occupying the energy of traders, and achieve rich and accurate performance and real-time performance, meet the requirements of accuracy and real-time performance, and improve the efficiency of quotation

Pending Publication Date: 2022-07-26
CHINA CITIC BANK
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

AI Technical Summary

Problems solved by technology

Option pricing theory is one of the most important achievements of modern financial theory. At present, there are three representative foreign exchange option pricing models; however, all elements of the option calculator need to be manually input by traders, and the quotation speed is about 1 transaction per minute, with continuous calls Communication occupies almost all the energy of traders. A trader has about one hundred quotations per day at full load. The bottleneck of quotation capacity limits the branch's growing inquiry demand, and it is also difficult to meet the real-time demand for quotations.

Method used

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  • Except quotation method, apparatus and device, and readable storage medium
  • Except quotation method, apparatus and device, and readable storage medium
  • Except quotation method, apparatus and device, and readable storage medium

Examples

Experimental program
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Effect test

Embodiment 1

[0067] This embodiment provides an option quotation method.

[0068] see figure 1 , the figure shows that the method includes step S100, step S200, step S300 and step S400.

[0069] S100. Receive first information, where the first information includes price inquiry elements set by the user for the option contract to be quoted, and the price inquiry elements include the expiry date of the inquiry transaction and the option exercise price.

[0070] It should be noted that the inquiry elements include not only the expiry date of the inquiry transaction and the option exercise price, but also the inquiry transaction elements such as options, buying and selling directions, calls and calls, and can be read through the inquiry email or the upstream system interface. .

[0071] It can be understood that S101 and S102 are included after this step, wherein:

[0072] S101. Input the option strike price into the Scholes option pricing model, and calculate the derivative function of the...

Embodiment 2

[0127] like figure 2 As shown, this embodiment provides an option quotation device, see figure 2 The apparatus includes a first receiving module 701, a first obtaining module 702, a first calculating module 703 and a generating module 704, wherein:

[0128] The first receiving module 701: for receiving first information, the first information includes the price inquiry elements set by the user for the option contract to be quoted, and the price inquiry elements include the expiry date of the inquiry transaction and the option execution price;

[0129] The first acquisition module 702: for acquiring second information, the second information includes real-time acquisition of historical market data and option contract information of the exchange;

[0130] The first calculation module 703: for calculating the implied volatility of the option contract to be quoted according to the first information and the second information;

[0131] Generating module 704: used for generating...

Embodiment 3

[0153] Corresponding to the above method embodiments, an option quotation device is also provided in this embodiment, and an option quotation device described below and an option quotation method described above can be referred to each other correspondingly.

[0154] image 3 It is a block diagram of an option quotation device 800 according to an exemplary embodiment. like image 3 As shown, the option quotation device 800 may include: a processor 801 and a memory 802 . The option quoting device 800 may also include one or more of a multimedia component 803 , an I / O interface 804 , and a communication component 805 .

[0155]Wherein, the processor 801 is configured to control the overall operation of the option quotation device 800 to complete all or part of the steps in the above-mentioned option quotation method. Memory 802 is used to store various types of data to support operation on the options quoting device 800, such data may include, for example, instructions for an...

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Abstract

The invention provides an option quotation method, device and equipment and a readable storage medium, and relates to the technical field of financial futures, and the method comprises the steps: receiving first information which comprises inquiry elements set by a user for an option contract to be quoted, and the inquiry elements comprise an inquiry transaction expiration date and an option execution price; obtaining second information, wherein the second information comprises historical market data and option contract information of the exchange obtained in real time; calculating the implicit volatility of the option contract to be quoted; and generating the option price of the option contract to be quoted according to a preset operation rule. Through implementation of an option pricing model and reconstruction of market data, the option quotation is autonomously calculated; the samples of adding and subtracting point differences of traders are learned to realize automatic point adding logic and tradable price quotation; the automation of the inquiry and quotation process is realized through the transformation of the quotation process, so that the branch quotation efficiency is greatly improved.

Description

technical field [0001] The present invention relates to the technical field of financial futures, and in particular, to an option quotation method, apparatus, device and readable storage medium. Background technique [0002] With the development of the market, the types of options have also become very rich. Determining the price of foreign exchange options through a reasonable mathematical model has become a key issue for investors to use options to lock foreign exchange exposures and control interest rate risk. An important prerequisite for reasonable option pricing is the accurate description of the distribution of the subject matter. Option pricing theory is one of the most important achievements of modern financial theory. At present, there are mainly three representative foreign exchange option pricing models; however, all the elements of the option calculator need to be manually input by traders, and the quotation speed is about 1 per minute. Communication takes almo...

Claims

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Application Information

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IPC IPC(8): G06Q40/04
CPCG06Q40/04
Inventor 阎文韬
Owner CHINA CITIC BANK
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