Invention Grant
- Patent Title: Method of determining implied volatility for American options
- Patent Title (中): 确定美国期权隐含波动率的方法
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Application No.: US10698040Application Date: 2003-10-30
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Publication No.: US08032440B1Publication Date: 2011-10-04
- Inventor: David Hait
- Applicant: David Hait
- Applicant Address: US NY New York
- Assignee: Optionmetrics LLC
- Current Assignee: Optionmetrics LLC
- Current Assignee Address: US NY New York
- Agency: Pearl Cohen Zedek Latzer, LLP
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
A new computer-implemented method for determination of a financial index, namely, implied volatility for American options. The method involves the division of the period until option expiration into a series of sub-periods, and calculation of a node vega, the node vega being the exact derivative of the option price with respect to the volatility at the end of at least one of said subperiods.
Information query
