Patent ID: 8626630

Claim:
A system of pricing options, the system comprising: a memory having stored thereon pricing-module instructions; and a processor to execute the pricing-module instructions resulting in a pricing module 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 volatility smile, wherein the volatility smile is defined as satisfying 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 volatility smile and a theoretical price of the first option, and wherein the second correction relates to a difference between the price of the second option according to the volatility smile and a theoretical price of the second option.