Patent ID: 7827084

Claim:
A computer-based method of providing at least one of a bid price and an offer price of an option on an underlying asset, the method comprising: computing, by a computing device, a plurality of building blocks based on first and second input data, said first input data corresponding to at least one parameter defining said option, and said second input data corresponding to at least one current market condition relating to said underlying asset, wherein at least one of said building blocks is a function of a factor related to a risk associated with said option; computing, by the computing device, a bid/offer spread of said option as a function of at least one of said building blocks; computing, by the computing device, at least one of the bid price and the offer price of said option based on said bid/offer spread; and outputting by the computing device and output corresponding to at least one of the bid price and the offer price of said option.