公开(公告)号：US07769661B1

公开(公告)日：2010-08-03

申请号：US11426349

申请日：2006-06-26

申请人： Richard R. Joss

发明人： Richard R. Joss

IPC分类号： G06F17/60

CPC分类号： G06Q40/06 ,  G06Q30/04 ,  G06Q40/00 ,  G06Q40/04

摘要： A method, system, and computer program product for determining stock option pricing in which the interplay of short-term interest rates and expected long-term rates of return on the underlying security results are factored to yield a more accurate forecast of options prices as compared to conventional models. The method of the present invention employs an expected long-term rate of return parameter and a conditional probability volatility parameter and an adjustment factor to address the put-call parity theorem which addresses the accuracy problems of the Black-Scholes model. The method can also be applied using a known current option prices to determine an assumed long-term rate of return.

摘要翻译： 一种用于确定股票期权定价的方法，系统和计算机程序产品，其中短期利率相互作用和预期的长期回报率对基本安全结果进行了考虑，以对期权价格进行更准确的预测 到常规型号。 本发明的方法采用期望的长期回报率参数和条件概率波动参数以及调整因子来解决针对Black-Scholes模型的准确性问题的投机平价定理。 该方法也可以使用已知的当前期权价格来确定假定的长期回报率。

公开(公告)号：US20100262564A1

公开(公告)日：2010-10-14

申请号：US12820809

申请日：2010-06-22

申请人： Richard R. Joss

发明人： Richard R. Joss

IPC分类号： G06Q40/00

CPC分类号： G06Q40/06 ,  G06Q30/04 ,  G06Q40/00 ,  G06Q40/04

摘要： A method, system, and computer program product for determining stock option pricing in which the interplay of short-term interest rates and expected long-term rates of return on the underlying security results are factored to yield a more accurate forecast of options prices as compared to conventional models. The method of the present invention employs an expected long-term rate of return parameter and a conditional probability volatility parameter and an adjustment factor to address the put-call parity theorem which addresses the accuracy problems of the Black-Scholes model. The method can also be applied using a known current option prices to determine an assumed long-term rate of return.

摘要翻译： 一种用于确定股票期权定价的方法，系统和计算机程序产品，其中短期利率相互作用和预期的长期回报率对基本安全结果进行了考虑，以对期权价格进行更准确的预测 到常规型号。 本发明的方法采用期望的长期回报率参数和条件概率波动参数以及调整因子来解决针对Black-Scholes模型的准确性问题的投机平价定理。 该方法也可以使用已知的当前期权价格来确定假定的长期回报率。