Method and system for high speed options pricing

US7840482B2 · kind B2 · utility

Assignee

• Exegy Incorporated · US

Inventors

• Naveen Singla · Chesterfield, US
• Scott Parsons · Holden, US
• Mark Allen Franklin · Chesterfield, US
• David E. Taylor · Chesterfield, US

Key dates

• Filing date: Jun 8, 2007
• Grant date: Nov 23, 2010
• Expiry date: Mar 23, 2028

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

A high speed technique for options pricing in the financial industry is disclosed that can provide both high throughput and low latency. A parallel/pipelined architecture is disclosed for computing an implied volatility in connection with an option. Parallel/pipelined architectures are also disclosed for computing an option's theoretical fair price. Preferably these parallel/pipelined architectures are deployed in hardware, and more preferably reconfigurable logic such as Field Programmable Gate Arrays (FPGAs) to accelerate the options pricing operations relative to conventional software-based options pricing operations.