Option pricing model for event driven instruments

Details Option pricing model for event driven instruments Option pricing model for event driven instruments

2008-10-03

2011-10-11

Kazimi, Hani M (Department: 3691)

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

Automated electrical financial or business practice or...

Finance

Reexamination Certificate

active

08036972

ABSTRACT:
Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.

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patent: 2005/0160027 (2005-07-01), Thomas
patent: 2005/0209959 (2005-09-01), Tenney
Kim, Kyoung-Kuk, Ph.D., Affine processes in finance: Numerical approximation, simulation and model properties; 2008, 202 pages AAT 3333483.
Kau, James B; An option-theoretic model of catatrophes applied to mortgage insurance; Journal Risk and Insurance; Malvem: Dec. 1996. vol. 63, Is. 4; p. 639, 18 pgs.
Cai, Ning, Ph.D., Jump diffisuion process in financial modeling, Columbia University, 2008, 223 pages; AAT 3333311.

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