CA2429398A1 - Method and system for simulating implied volatility surfaces for basket option pricing - Google Patents

Method and system for simulating implied volatility surfaces for basket option pricing Download PDF

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Publication number
CA2429398A1
CA2429398A1 CA002429398A CA2429398A CA2429398A1 CA 2429398 A1 CA2429398 A1 CA 2429398A1 CA 002429398 A CA002429398 A CA 002429398A CA 2429398 A CA2429398 A CA 2429398A CA 2429398 A1 CA2429398 A1 CA 2429398A1
Authority
CA
Canada
Prior art keywords
beta
volatility
basket
values
option
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Abandoned
Application number
CA002429398A
Other languages
English (en)
French (fr)
Inventor
Sid Browne
Arthur Maghakian
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
Goldman Sachs and Co LLC
Original Assignee
Goldman Sachs and Co LLC
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Goldman Sachs and Co LLC filed Critical Goldman Sachs and Co LLC
Publication of CA2429398A1 publication Critical patent/CA2429398A1/en
Abandoned legal-status Critical Current

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Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
CA002429398A 2002-05-31 2003-05-22 Method and system for simulating implied volatility surfaces for basket option pricing Abandoned CA2429398A1 (en)

Applications Claiming Priority (2)

Application Number Priority Date Filing Date Title
US10/160,469 2002-05-31
US10/160,469 US7440916B2 (en) 2001-06-29 2002-05-31 Method and system for simulating implied volatility surfaces for basket option pricing

Publications (1)

Publication Number Publication Date
CA2429398A1 true CA2429398A1 (en) 2003-11-30

Family

ID=29549272

Family Applications (1)

Application Number Title Priority Date Filing Date
CA002429398A Abandoned CA2429398A1 (en) 2002-05-31 2003-05-22 Method and system for simulating implied volatility surfaces for basket option pricing

Country Status (4)

Country Link
US (4) US7440916B2 (US20030074167A1-20030417-M00010.png)
EP (1) EP1369805A1 (US20030074167A1-20030417-M00010.png)
JP (1) JP2004038951A (US20030074167A1-20030417-M00010.png)
CA (1) CA2429398A1 (US20030074167A1-20030417-M00010.png)

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Also Published As

Publication number Publication date
EP1369805A1 (en) 2003-12-10
US7917419B2 (en) 2011-03-29
US20030074167A1 (en) 2003-04-17
JP2004038951A (ja) 2004-02-05
US20090012912A1 (en) 2009-01-08
US20120323819A1 (en) 2012-12-20
US7440916B2 (en) 2008-10-21
US20120016810A1 (en) 2012-01-19
US8255310B2 (en) 2012-08-28

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Legal Events

Date Code Title Description
FZDE Discontinued
FZDE Discontinued

Effective date: 20090522

FZDE Discontinued

Effective date: 20090522