Estimation method and system for complex securities using low-discrepancy deterministic sequences
Number of patents in Portfolio can not be more than 2000
United States of America Patent
Stats
-
Aug 17, 1999
Issued Date -
N/A
app pub date -
Jul 30, 1997
filing date -
Aug 4, 1994
priority date (Note) -
In Force
status (Latency Note)
Importance
Abstract
In securities trading, in setting the initial offering price of a financial instrument, or in later revaluation as financial parameters such as interest rates may change, an estimate of the value of the instrument may be represented as a multi-dimensional integral. For evaluation of the integral, numerical integration is preferred with the integrand being sampled at deterministic points having a low-discrepancy property. The technique produces approximate values at significant computational savings and with greater reliability as compared with the Monte Carlo technique.
First Claim
Family
International Classification(s)
Cited Art Landscape
Patent Citation Ranking
Advertisement
Advertisement
Advertisement
Recipient Email Address
Recipient Email Address
Comment
Recipient Email Address
Add to Portfolio(s)
To add this patent to one, or more, of your portfolios, simply click the add button.
This Patent is in these Portfolios:
Add to additional portfolios:
Last Refreshed On:
Changes done successfully