发明名称 |
METHOD AND SYSTEM OF PRICING EXOTIC OPTIONS |
摘要 |
A system for calculating a market value of an exotic option comprises an input means (102) for receiving market and option contract input data (112); a means (104) for calculating a theoretical value of an exotic option from the input data; a means (104) for calculating a market supplement adjustment to the theoretical value as a function of the expected stopping time of the exotic option; a means (104) for applying the market supplement adjustment to the theoretical value to produce the market value; and an output means (106) for outputting the calculated market value. The system may also calculate bid and offer prices from the market value. A method of obtaining the market value of an exotic option and a method of obtaining bid and offer prices of an exotic option are also disclosed. |
申请公布号 |
WO2006000058(A1) |
申请公布日期 |
2006.01.05 |
申请号 |
WO2005AU00944 |
申请日期 |
2005.06.28 |
申请人 |
CURTIN UNIVERSITY OF TECHNOLOGY;SMITH, KURT |
发明人 |
SMITH, KURT |
分类号 |
(IPC1-7):G06F17/60 |
主分类号 |
(IPC1-7):G06F17/60 |
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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