发明授权
- 专利标题： Method and system for modeling volatility
- 专利标题（中）： 波动率建模方法和系统
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申请号： US12437070申请日： 2009-05-07
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公开(公告)号： US07739187B2公开(公告)日： 2010-06-15
- 发明人: Martin R. Watts , Luke Halestrap , Lionnel Pradier , Julia Chislenko , Pawel M. Lewicki , Ronald Levin
- 申请人： Martin R. Watts , Luke Halestrap , Lionnel Pradier , Julia Chislenko , Pawel M. Lewicki , Ronald Levin
- 申请人地址： US NY New York
- 专利权人： JPMorgan Chase Bank, N.A.
- 当前专利权人： JPMorgan Chase Bank, N.A.
- 当前专利权人地址： US NY New York
- 代理机构： Goodwin Procter LLP
- 主分类号： G06Q40/00
- IPC分类号： G06Q40/00
摘要：
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximation of volatility. The volatility curve is a convex shaped curve which more closely follows real market volatility than previous methods. The slope of the curve is provided by employing a premium model which allows for a correlation between rates and volatility. The convex shaped curve is arrived by assuming a lognormal distribution for the underlying volatility.
公开/授权文献
- US20090216673A1 Method and System for Modeling Volatility 公开/授权日：2009-08-27
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