发明名称 |
Method and system for modeling volatility |
摘要 |
A method for determining the implied volatility of a swap option employs intuitive factors to arrive at a close approximate 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.
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申请公布号 |
US7958044(B2) |
申请公布日期 |
2011.06.07 |
申请号 |
US20100774208 |
申请日期 |
2010.05.05 |
申请人 |
JPMORGAN CHASE BANK, N.A. |
发明人 |
WATTS MARTIN R.;HALESTRAP LUKE;PRADIER LIONNEL;CHISLENKO JULIA;LEWICKI PAWEL M.;LEVIN RONALD |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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