Theoretical Option Prices
Arb-free theoretical option prices calculation is provided by oceanwondersPrice calculation engine based on real-time or historical data. The delivery of pricing data may occur alongside real-time data feed through oceanwonders API or calculated based on historical on demand data store.
The objective of setting the market price or a fair settlement price of a certain security is not always negligible, option markets often lack liquidity in certain strikes.
Irrespective of the market data available, the oceanwondersPrice technology derives the best possible option prices. The usage of this technology is handy for variety of applications such as on-the-fly risk control, augmentation of live market data feeds, end-of-day processing, or market making.
Set of bids and offers are available option series through which prices are derived from. As a result, they are smooth across the series, arbitrage free, reflect the market and fill in the gaps. The model neutrality of the algorithm is an important benefit which enables it work well on all kinds of asset classes.
- Existing arbitrage free prices across the option class
- Adaptable to low and high liquidity markets as well as in crash scenarios
- Cost Effective and existing volatility curves
- Remarkably responsive to be used in real time
- Adaptability towards market price availability.
Hardware acceleration, Real-time calculations and Analytics
For provisions of the needed computational power to calculate data in real time, the latest developments extend oceanwondersPrice engine with Nvidia CUDA GPU Acceleration and Advanced Vector Extensions(AVX) for Intel processors.
Demo: Oceanwonders Theoretical Option Pricing Web Application
This application performs the task of calculating theoretical option prices for specified historical moments starting from January 1st 2010 and up to the previous trading day for the current date.
- oceanwondersprice arb-free theoretical option prices
- Oceanwonders high performance Java API
- Standalone application and web widgets
- Reliable in-transit wire data compression
- Trusted high-performance hosted calculation
- 24x7x365 support and monitoring.