Autoquote

A computer system which continuously calculates theoretical option prices using standard mathematical models as derived by Black and Scholes and Cox-Ross-Rubenstein. Autoquote indicative prices are generated for many of the financial options contracts traded at LIFFE. Autoquote calculates prices for all series by processing variables captured in real-time from other systems and trading members each time the underlying price changes. Autoquotes indicate where a series may trade given the current level of the underlying instrument.