专利名称：Method and system for pricing and risk
analysis of options
发明人：Sergey P. Kolos,Konstantin A. Mardanov申请号：US11457770申请日：20060714公开号：US07627513B2公开日：20091201
专利附图：
摘要：Methods and arrangements to determine a value of an option dependent upona stochastic variable are contemplated. One embodiment provides a method todetermine 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 errorweight function, apportioning a permissible error among multiple time periods, andevolving the error weight function. The method may also include determining a value ofthe option at the time periods with the determination of a value for one or more timesperiods within the permissible error apportioned for the one or more time periods. Themethod may also include determining the value of the option, responsive to thedetermination of the values of the option at the plurality of time periods. In someembodiments, the stochastic variable may represent the price of one or more financialinstruments.
申请人：Sergey P. Kolos,Konstantin A. Mardanov
地址：777 Dunlavy St., #8208 Houston TX 77019 US,1401 Camp Craft Rd., #A Austin TX78746 US
国籍：US,US
代理机构：Schubert Osterrieder & Nickelson PLLC
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