The Journal of Supercomputing

, Volume 47, Issue 2, pp 146–170 | Cite as

A software architecture framework for on-line option pricing

  • Kiran Kola
  • Ruppa K. Thulasiram
  • Parimala Thulasiraman
Article
First Online:
Received:
Accepted:

Abstract

The problem of growing computational complexity in the finance industry demands manageable, high-speed and real-time solutions in solving complex mathematical problems such as option pricing. In current option trading scenarios, determining a fair price for options “any time” and “anywhere” has become vital yet difficult computational problem. In this study, we have designed, implemented, and deployed an architecture for pricing options on-line using a hand-held device that is J2ME-based Mobile computing-enabled and is assisted by web mining tools. In our architecture, the client is a MIDP user interface, and the back end servlet runs on a standalone server bound to a known port address. In addition, the server uses table-mining techniques to mine real-time data from reliable web sources upon the mobile trader’s directive. The server performs all computations required for pricing options since mobile devices have limited battery power, low bandwidth, and low memory. We have parallelized and implemented various computational techniques such as binomial lattice and finite differencing. To the best of our knowledge, this is one of the first studies that facilitate the mobile-enabled-trader to compute the price of an option in ubiquitous fashion. This architecture aims at providing the trader with various computational techniques to avail (to provide results from approximate to accurate results) while on-the-go and to make important and effective trading decisions using the results that will ensure higher returns on investments in options.

Keywords

Mobile/ubiquitous computing Web table-mining Finance applications Option pricing algorithms MIDP J2ME 
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Copyright information

© Springer Science+Business Media, LLC 2008

Authors and Affiliations

  • Kiran Kola
    • 1
  • Ruppa K. Thulasiram
    • 1
  • Parimala Thulasiraman
    • 1
  1. 1.Department of Computer ScienceThe University of ManitobaWinnipegCanada

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