System and method for determining the price of an expirationless

Details System and method for determining the price of an expirationless System and method for determining the price of an expirationless

1994-07-29

1996-09-17

McElheny, Jr., Donald E.

Boots, shoes, and leggings

G06F15700

Patent

active

055575170

ABSTRACT:
A system and method for determining the price of an expirationless American option over a broad variety of securities and issuing the correct bid and ask prices for the same. Data concerning initial margin requirements, contract value of the option, expiration date (if applicable) of the underlying security, number of contracts required, exchange fees, commission, residuals, and all open positions is accumulated and stored in computer memory. When it is desired that an option be bought or sold, information identifying the contract C the type of option, either call or put, the current price of the underlying security S, the exercise price X, the margin requirement and type, either M for a dollar amount and the unit price movement of the security U, or G for a percentage amount, is entered into the computer which is actuated to calculate the price of the option as M or G multiplied by X when S=X, or as M+U(S-X) for M margin requirements and as SG+G(S-X) for G margin requirements for call options. Put options are calculated as M+U(X-S) for M margin requirements and as SG+G(X-S) for G margin requirements. The results of the calculations are outputted to a printer, display or memory storage device.

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patent: 5083782 (1992-01-01), Nilssen
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patent: 5132899 (1992-06-01), Fox

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