Apparatus and process for calculating an option

Claim 2

A computer implemented method for valuing an instrument, comprising: receiving data associated with a financial instrument; processing the data using a processor to determine an expirationless option value for the financial instrument using an expirationless option, the expirationless option value being less than an underlying asset value of the instrument; and computing a value for the financial instrument using the expirationless option value instead of the underlying asset value in an option pricing algorithm.

Claim 3

The method of claim 1 wherein said instrument provides for the optional sale or purchase of an underlying asset at a predetermined non-zero price.

Claim 4

The method of claim 1 wherein processing the data to determine an expirationless option value for the financial instrument comprises using a pricing algorithm selected from the group of: Merton, Black-Scholes, Binomial Pricing, Finite Difference, and Analytic Approximation algorithms.

Claim 5

The method of claim 1 wherein said expiring option is selected from the list composed of: vanilla options; asian options; barrier options; binary options; chooser options; compound options; crack/spread options; currency translated options; jump options; rainbow options; Average Rate Option; Exchange One Asset for Another Option; Quanto Option; average price Asian option; European (American) lookback option; contingent premium option; down-and-in barrier option; up-and-in barrier option; cash-or-nothing binary option; gap option; one-touch cash-at-hit option; Asset-at-hit option; one-touch cash-at-expiration option; asset-at-expiration option; double barrier kick-in option; double barrier knock-out option; double baffler no-touch option; double barrier one-touch cash-at-hit option; double baffler one-touch cash-at-expiration option; double-barrier one-touch asset at hit option; double-barrier one-touch asset at expiration option; asset-or-nothing up-and-in digital baffler option; asset-or-nothing up-and-out digital barrier option; asset-or-nothing down-and-in digital baffler option; asset-or-nothing up-and-in digital baffler option; cash-or-nothing up-and-in digital baffler option; cash-or-nothing up-and-out digital baffler option; cash-or-nothing down-and-in digital baffler option; cash-or-nothing down-and-in options; cash-or-nothing up-and-in options; basket option; two-item basket option; generalized basket option; maximum of two option; minimum of two option; European (American) spread option; correlation gap option; complex chooser option; cliquet option; forward start option; Bermudan option; swing option; shout option; options on U.S. or foreign “stripped” government securities divided into two or more instruments of principal and interest or price and dividend; options on stripped corporate, agency, and municipal securities, notes, bills and certificates of deposit; options on callables; and options on odd-first, -last, -middle, or securities with varying coupon/dividend periods, varying strike prices of varying underlying instruments.

Claim 6

The method of claim 1 , wherein processing the data to determine an expirationless option value for the financial instrument using an expirationless option comprises: receiving data associated with an underlying asset including, a current price, a historic volatility and a margin requirement; using the current price as an expiration price in an expiring option algorithm to determine an implied time to expiration; and using the implied time to expiration to determine the price of an expirationless option.

Claim 7

The method of claim 1 wherein processing the data to determine a premium for an expiring option using the expirationless option value as a maximum value of the expiring option comprises using the expirationless option value as a maximum price in an expiring option algorithm.

Claim 8

The method of claim 1 further comprising displaying the premium to a user.

Claim 11

The system of claim 8 wherein said program module is operative to enable a transaction including a purchase, sale or trade of an option to purchase, sell or trade said underlying asset utilizing said option of the premium.

Claim 12

An article, comprising a storage medium, said storage medium having stored thereon instructions, said instructions, when executed, to determine a value for an expiring instrument, comprising: determining an expirationless option value for the expiring instrument using an expirationless pricing algorithm, wherein said expirationless option value is less than an underlying asset value of the expiring instrument; and using the expirationless option value in an expiring pricing algorithm to determine a value for the expiring instrument, wherein the expirationless option value is used instead of an underlying asset value to determine the value for the expiring instrument.

Claim 13

An article, comprising a storage medium, said storage medium having stored thereon instructions, said instructions, when executed, to determine a value for an expiring instrument, comprising: determining an expirationless option value for the expiring instrument using an expirationless pricing algorithm, wherein said expirationless option value is less than an underlying asset value of the expiring instrument; and using the expirationless option value in an expiring pricing algorithm to determine a value for the expiring instrument, wherein the expirationless option value is used instead of an underlying asset value to determine the value for the expiring instrument.

Claim 14

A computer implemented method to determine a value for a financial instrument comprising: receiving financial instrument data associated with an expiring option contract data for the optional sale or purchase of an underlying asset granting an owner of the contract a right, but not an obligation, to sell or buy said underlying asset at a predetermined non-zero price; processing the expiring contract data using a processor to determine the value for the financial instrument; and providing the determined value to a user; wherein the expirationless option value is less than an underlying asset value of the expiring contract, and wherein the expirationless option value is used to process the contract data instead of the underlying asset value in an option pricing algorithm to determine the value for the financial instrument.

Claim 15

A computer implemented method to determine a value for a financial instrument comprising: receiving financial instrument data associated with an expiring option contract data for the optional sale or purchase of an underlying asset granting an owner of the contract a right, but not an obligation, to sell or buy said underlying asset at a predetermined non-zero price; processing the expiring contract data using a processor to determine the value for the financial instrument; and providing the determined value to a user; wherein the expirationless option value is less than an underlying asset value of the expiring contract, and wherein the expirationless option value is used to process the contract data instead of the underlying asset value in an option pricing algorithm to determine the value for the financial instrument.