Analysis of financial derivatives
A method for trading in a financial derivative of an underlying asset includes determining a trend predictive of a future value of the asset and a predicted variance of the future value. Responsive to the trend and the variance, a density function is calculated, which is indicative of a probability...
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| Main Authors | , |
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| Format | Patent |
| Language | English |
| Published |
24.06.2008
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| Online Access | Get full text |
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| Summary: | A method for trading in a financial derivative of an underlying asset includes determining a trend predictive of a future value of the asset and a predicted variance of the future value. Responsive to the trend and the variance, a density function is calculated, which is indicative of a probability distribution of the value at a first time in the future. Based on the density function at the first time, the density function is recalculated to find the probability distribution of the value at a second time, subsequent to the first time, and a trading decision is made with regard to the derivative of the asset based on the density function. |
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