OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS

摘要

Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

主权项

1. A computer-implemented method of valuing an event driven option, the method comprising:
(a) storing in a memory module a model for the event driven option, the model comprising a jump diffusion based model that assumes arithmetic movement of an underlying price and a single jump; and (b) calculating by a processor the value of the event driven option with the model in (a).