Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2011-03-29
2011-03-29
Subramanian, Narayanswamy (Department: 3695)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S035000, C705S037000
Reexamination Certificate
active
07917419
ABSTRACT:
A volatility surface model having at least one surface parameter is provided along with a set of volatilities for a plurality of options on the underlying financial instrument. The set of volatilities is analyzed to determine an initial value for each surface parameter which in the surface model defines a surface approximating the set of volatilities. The values of the surface parameters are evolved using an appropriate evolution function and a volatility value for a particular option is extracted from the volatility surface. The extracted volatility value can be used in an option pricing model to provide a price of the particular option. The volatility of a basket options valued relative to the performance of multiple components can be simulated by determining the value of surface parameters for options on the component securities and combining the component surface parameters to determine surface parameters for a volatility surface of the basket.
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Browne Sid
Maghakian Arthur
Chadbourne & Parke LLP
Goldman Sachs & Co.
Hanchuk Walter G.
Subramanian Narayanswamy
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