Theoretical Option Prices
dxPrice calculation engine provides an arb-free theoretical option price calculation based on real-time or historical data. Pricing data may be delivered along with real-time data feed via dxFeed API or calculated based on the historical onDemand data store.
Option markets often lack liquidity in certain strikes, and the task of determining the market price or a fair settlement price of a certain security is not always trivial. dxPrice is a technology that derives the best possible option prices from whatever market data is available.
The technology can be used in a variety of applications such as augmentation of live market data feeds, on-the-fly risk control, end-of-day processing, or market-making.
- The dxPrice Engine works well on both low and high liquidity markets as well as in cases of high volatility
- The Engine provides the prices that fit the market best
- Prices are arbitrage-free across the option class
- The algorithm provides smooth price and volatility curves
The dxPrice engine is fast enough to be used in real-time even for the highest-volume data feeds like the OPRA option universe.
Historical data generated by dxPrice is available through dxFeed standard APIs.
dxFeed APIs unites the raw market data, reference data, and options analytics feeds under one umbrella, providing clients with a single point of entry for any market data needs.
Hardware acceleration, real-time calculations, and analytics
Our latest developments extend the dxPrice engine with Nvidia CUDA GPU Acceleration, Advanced Vector Extensions (AVX) for Intel processors to provide computational power needed to calculate data in real-time.
Demo: dxPrice Theoretical Option Pricing Web Application
This application calculates theoretical option prices for an underlying for a given moment in history starting from January 1st, 2010 and up to the previous trading day for the current date.
- dxPrice arb-free theoretical option prices
- dxFeed high-performance Java API
- Standalone application and web widgets