Stabilized monte carlo technique and method and system of applying same to valuate assets including derivative securities

Stabilized monte carlo technique and method and system of applying same to valuate assets including derivative securities

A method of calculating derived variables comprises selecting a model equation, generating Monte Carlo paths and constructing a lattice of state variables, then calculating derived variables on the lattice. Derived variables for each Monte Carlo path are then calculated from the derived variables on...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: COHLER L. EUGENE, KUGELMASS STEVEN D, FELDMAN MARK D
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
Online-Zugang:Volltext bestellen
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:A method of calculating derived variables comprises selecting a model equation, generating Monte Carlo paths and constructing a lattice of state variables, then calculating derived variables on the lattice. Derived variables for each Monte Carlo path are then calculated from the derived variables on the lattice, wherein the Monte Carlo path state variables are not restricted to the lattice node values.