Patent ID: 8843408

Claim:
An apparatus for computing a price for an option, the apparatus comprising: at least one member of the group consisting of a reconfigurable logic device, a graphics processor unit (GPU), and a chip multi-processor; the at least one member having an options pricing engine deployed thereon, the at least one member configured to receive a data stream comprising financial market data, the financial market data comprising a plurality of data messages corresponding to a plurality of options on at least one underlying financial instrument, the data messages comprising data that describes the options, wherein the at least one member comprises a plurality of parallel computational units, each of the plurality of parallel computational units configured to (1) receive a volatility value and a portion of the data stream representative of a particular option, (2) compute a theoretical fair market price for the particular option based on the received volatility value, and (3) provide the computed theoretical fair market price as an output such that the plurality of parallel computational units are configured to simultaneously compute a plurality of theoretical fair market prices.