System, method, and computer program product for use of lattices in valuating options
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United States of America Patent
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N/A
Issued Date -
Jun 13, 2002
app pub date -
Mar 19, 2001
filing date -
Aug 11, 1999
priority date (Note) -
Abandoned
status (Latency Note)
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Abstract
A system, method, and computer program product for pricing options which involve more than one underlying asset. The method employs a lattice approach by extending current trinomial techniques to higher dimensions, while achieving a maximum economy of nodes. Such economy produces computational advantages in terms of faster execution speed and the utilization of less memory resources. The method valuates options under a general form (i.e., Brownian motion) where parameters may depend on time and price, and accounts for drift and volatility parameters.
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