Cognitum Option Pricer was launched. Interesting conception for far OTM options traders...
"Cognitum Option Pricer offers a different approach to option pricing. It uses historical data to build a real price return distribution, and then uses this distribution for option price calculation. No model assumptions.
Price returns are normalized to local volatility estimate, using rolling N-day window. It makes historical returns landscape more or less homogeneous and so it makes more reasonable the assumption about stability of the distribution form."
Evaluation period is 15 days.
Software written by Cognitum Research.
"Cognitum Option Pricer offers a different approach to option pricing. It uses historical data to build a real price return distribution, and then uses this distribution for option price calculation. No model assumptions.
Price returns are normalized to local volatility estimate, using rolling N-day window. It makes historical returns landscape more or less homogeneous and so it makes more reasonable the assumption about stability of the distribution form."
Evaluation period is 15 days.
Software written by Cognitum Research.
