Option Pricing


A comprehensive option pricing tool is provided in QR Anaytics Server. It computes and plots option values or premiums across a range of strike prices for ease of trading. QR Options Pricer uses trinomial trees for option pricing.

Trinomial trees converge an order faster than the outdated method of binomial trees. Incidentally, the same advanced technique is used to evaluate options when we simulate the value of your portfolio for risk analysis.
All Greek letters of an option are computed including delta, gamma, theta, vega and rho. A risk band around the fair price is also displayed to help hedging in illiquid markets. Pricing is not limited to the fair value of an option, as it is done traditionally, but a suggested trading price is also evaluated.

You can thus price and trade options at some percentile above/below the fair value, to account for their VaR. This is valuable in pricing physical options and options in illiquid markets where delta hedging is impossible. European, American and path dependent options are handled.


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The following values are computed and displayed:
  • Fair Price. This is the fair price that will result in both buyer and seller breaking even on average.
  • Trading Price. This is a suggested trading price that will result in a small expected profit for you.
  • Risk Band. The risk band is based on the 90% confidence interval of the simulated sample paths of the underlying float an option is written on. What it means is that if the worst case scenario transpired, you would have to use one of the red lines as the strike price just to break even.
3 Months
out of the box Implementation $80 K per Month
Video Demo
Sample Videos
Options Pricing