Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2003-01-03
2009-10-06
Kazimi, Hani (Department: 3691)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
Reexamination Certificate
active
07599871
ABSTRACT:
In preferred embodiments, a method and system for pricing a derivative (e.g., a stock option) based on a non-Gaussian price model assuming statistical feedback. The dynamics of the underlying financial instrument (e.g., stock) are assumed to follow a stochastic process with anomalous nonlinear diffusion, phenomenologically modeled as a statistical feedback process within the framework of a generalized thermostatistics. Preferred embodiments implement solutions to a generalized form of the Black-Scholes differential equation, using risk-free asset valuation techniques in some cases.
REFERENCES:
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Evnine & Associates, Inc.
Girard & Equitz LLP
Kazimi Hani
Shrestha Bijendra K
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