Theoretical Option Prices, Greeks, Volatilities
dxPrice calculation engine provides arb-free theoretical option prices 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 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 prices are derived from the entire set of bids and offers available for an option series. As a result, they are smooth across the series, arbitrage free, reflect the market and fill in the gaps. It is an important benefit that the algorithm is model neutral and therefore works well on all kinds of asset classes.
- Smooth price and volatility curves
- Prices are arbitrage free across the option class
- Best fits the market prices available
- Works well on low liquidity and high liquidity markets as well as in crash scenarios
- Fast enough to be used in real time
Hardware acceleration, real-time calculations and analytics
Our latest developments extend 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
- Efficient high-performance hosted calculation
- Efficient in-transit wire data compression
- 24x7x365 monitoring and support