Patent ID: 8756139

Claim:
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); wherein the model for the event driven option determines an option price c 1 as: c 1 =e− rt *( b *( S−K )*( N ( b*d )+ N ′( d )*δ)) where r=interest rate t=time to expiration b=1 for a call option and −1 for a put option δ=event volatility S=underlying price K=strike price d=(S−K)/δ N(x)=normal cumulative distribution N′(x)=e −x^*2/2 /√2π.