US Patent 7958044 Method and system for modeling volatility
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Edits on 28 Nov, 2023
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Patent abstract
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.
Edits on 14 Jul, 2023
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US Patent 07958044 Method and system for modeling volatility US Patent 7958044 Method and system for modeling volatility
Infobox
Patent Number
0795804400
Patent Number
795804400
Edits on 23 Apr, 2023
Golden AI
Infobox
Is a
Patent Jurisdiction
Patent Number
079580440
Date of Patent
June 7, 2011
0Patent Application Number
127742080
Date Filed
May 5, 2010
0Patent Primary Examiner
Edits on 23 Sep, 2022
Golden AI
Infobox
Is a
Patent Jurisdiction
Patent Number
079580440
Date of Patent
June 7, 2011
0Patent Application Number
127742080
Date Filed
May 5, 2010
0Patent Primary Examiner
Edits on 7 Dec, 2021
Golden AI
Edits made to:
Infobox (+7 properties)
US Patent 07958044 Method and system for modeling volatility
Infobox
Is a
Patent jurisdiction
Patent number
07958044
Date of patent
June 7, 2011
Patent application number
12774208
Date Filed
May 5, 2010
Patent primary examiner
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