Method and system for pricing and risk analysis of options

Details Method and system for pricing and risk analysis of options Method and system for pricing and risk analysis of options

2006-07-14

2009-12-01

Trammell, James P (Department: 3694)

Data processing: financial, business practice, management, or co

Automated electrical financial or business practice or...

Finance

C705S037000

Reexamination Certificate

active

07627513

ABSTRACT:
Methods and arrangements to determine a value of an option dependent upon a stochastic variable are contemplated. One embodiment provides a method to determine a value of an option dependent upon a stochastic variable. The method may involve receiving a specification of permissible error for the determination and an error weight function, apportioning a permissible error among multiple time periods, and evolving the error weight function. The method may also include determining a value of the option at the time periods with the determination of a value for one or more times periods within the permissible error apportioned for the one or more time periods. The method may also include determining the value of the option, responsive to the determination of the values of the option at the plurality of time periods. In some embodiments, the stochastic variable may represent the price of one or more financial instruments.

REFERENCES:
patent: 6546375 (2003-04-01), Pang et al.
patent: 6625577 (2003-09-01), Jameson
patent: 6772136 (2004-08-01), Kant et al.
patent: 7349878 (2008-03-01), Makivic
patent: 2002/0065755 (2002-05-01), Shlafman et al.
patent: 2002/0103738 (2002-08-01), Griebel et al.
patent: 2004/0215545 (2004-10-01), Murakami et al.

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