Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2008-03-25
2008-03-25
Colbert, Ella (Department: 3694)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C705S03600T
Reexamination Certificate
active
07349878
ABSTRACT:
A Monte Carlo system and method are presented for the pricing of financial instruments such as derivative securities and for assisting a user in making an investment decision using the output of the system and method. A path-integral approach is described that relies upon the probability distribution of the complete histories of an underlying security. A Metropolis algorithm is used to generate samples of a probability distribution of the paths (histories) of the security. Complete information on the derivative security is obtained in a single simulation, including parameter sensitivities. Multiple values of parameters are also obtained in a single simulation. The method is applied in a plurality of systems, including a parallel computing environment and an online real-time valuation service. The method and system also have the capability of evaluation American options using Monte Carlo methods.
REFERENCES:
patent: 5148365 (1992-09-01), Dembo
patent: 5168161 (1992-12-01), Markandey
patent: 5301118 (1994-04-01), Heck et al.
patent: 5334833 (1994-08-01), Case et al.
patent: 5479576 (1995-12-01), Watanabe et al.
patent: 5563783 (1996-10-01), Stolfo et al.
patent: 5594918 (1997-01-01), Knowles et al.
patent: 5608620 (1997-03-01), Lundgren
patent: 5692233 (1997-11-01), Garman
patent: 5699271 (1997-12-01), Sagawa et al.
patent: 5745385 (1998-04-01), Hinsberg et al.
patent: 5799287 (1998-08-01), Dembo
patent: 5940810 (1999-08-01), Traub et al.
patent: 5950176 (1999-09-01), Keiser et al.
patent: 6021397 (2000-02-01), Jones et al.
patent: 6061662 (2000-05-01), Makivic
patent: 6456982 (2002-09-01), Pilipovic
patent: 6640191 (2003-10-01), Deem et al.
patent: 0555524 (1992-05-01), None
patent: 02001067409 (2001-03-01), None
Wikipedia; http://en.wikipedia.org/wiki/monte—carlo—me; “Monte Carlo Method” and “Underlying”; Jun. 11, 1915-Oct. 17, 1999; pp. 1-42.
http://www.taygeta.com/rwalks
ode5; “Monte Carlo Integration”; Jan. 9, 1996; pp. 12-26.
http://www.riskglossary.com/articles/black—1976; “Black (1976) Option Pricing Formula”; 1996; entire document.
Clifford A. Ball and Antonio Romo; “Stochastic Vollatility Option Pricing”; The Journal of Finance and Quantitative Analysis; vol. 29; No. 4; Dec. 1994; pp. 589-606.
Louis O. Scott; “Option Pricing when the Variance Changes Randomly: Theory, Estimation and an Application”; The Journal of Financial and Quantitative Analysis; vol. 22, No. 4; Dec. 1987; pp. 419-438.
James and James.Mathematics Dictionary. 5th ed. New York: Chapman & Hall, 1992.
Magee Jr., Dail, et al., eds.Computer Dictionary. 3rd ed. Redmond, Washington: Microsoft Press, 1997.
Shreider, I.U.A. and N.P. Buslenko, eds.The Monte Carlo Method: The Method of Statistical Trials. New York: Pergamon Press, 1966.
Downes, John and Jordan E. Goodman.Dictionary of Finance and Investment Terms. 4th ed. Hauppauge, New York: Barron's, 1995.
Allen Dyer Doppelt Milbrath & Gilchrist, P.A.
Colbert Ella
Options Technology Company, Inc.
LandOfFree
Simulation method and system for the valuation of derivative... does not yet have a rating. At this time, there are no reviews or comments for this patent.
If you have personal experience with Simulation method and system for the valuation of derivative..., we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Simulation method and system for the valuation of derivative... will most certainly appreciate the feedback.
Profile ID: LFUS-PAI-O-2808499