Is a
Patent attributes
Current Assignee
Patent Jurisdiction
Patent Number
Patent Inventor Names
Stefan Brundobler0
Date of Patent
June 20, 2006
0Patent Application Number
097024230
Date Filed
October 31, 2000
0Patent Citations Received
0
Patent Primary Examiner
Patent abstract
This invention presents a method for pricing an option. The steps for this method include configuring a general option pricing model with parameters to conform the model to a market behavior of an underlying asset. A price for an option is then calculated using the model. The configured model can be calibrated to implied volatility data describing the current state of the market. The underlying asset can include commodity prices, interest rates, and currency exchange rates. More than one general option pricing models can be used to price the option. Additionally, correlations between the general option pricing models can be included in the calculation. The configuring of the parameters can be done through the formula:
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