Patent ID: 8620792

Claim:
A system of pricing options, the system comprising: a computing device configured to: receive first input data corresponding to at least one parameter defining a first option on an underlying asset; receive second input data corresponding to at least one current market condition relating to said underlying asset; and determine, based on said first and second input data, a price of the first option according to a pricing model, wherein the price of the first option according to the pricing model satisfies a first criterion and a second criterion, the first criterion relates to a sum of a first correction corresponding to the first option and a second correction corresponding to a second option, the second criterion relates to a difference between the first correction corresponding to the first option and the second correction corresponding to the second option, wherein the second option represents a position opposite to a position of the first option and has a same absolute delta value as the first option, wherein the first correction relates to a difference between the price of the first option according to the pricing model and a price of the first option according to a Black-Scholes model with an At-The-Money (ATM) volatility, and wherein the second correction relates to a difference between the price of the second option according to the pricing model and a price of the second option according to the Black-Scholes model with the ATM volatility.