Miloje S Makivic

US Patent:

7349878, Mar 25, 2008

Filed:

May 9, 2000

Appl. No.:

09/567346

Inventors:

Miloje S. Makivic - Arlington MA, US

Assignee:

Options Technology Company, Inc. - Moscow ID

International Classification:

G06Q 40/00

US Classification:

705 37, 705 36 R

Abstract:

A Monte Carlo system and method are presented for the pricing of financial instruments such as derivative securities and for assisting a user in making an investment decision using the output of the system and method. A path-integral approach is described that relies upon the probability distribution of the complete histories of an underlying security. A Metropolis algorithm is used to generate samples of a probability distribution of the paths (histories) of the security. Complete information on the derivative security is obtained in a single simulation, including parameter sensitivities. Multiple values of parameters are also obtained in a single simulation. The method is applied in a plurality of systems, including a parallel computing environment and an online real-time valuation service. The method and system also have the capability of evaluation American options using Monte Carlo methods.

US Patent:

60616628, May 9, 2000

Filed:

Aug 15, 1997

Appl. No.:

8/911252

Inventors:

Miloje S. Makivic - Arlington MA

Assignee:

Options Technology Company, Inc. - Wailuku HI

International Classification:

G06F 1760

US Classification:

705 36

Abstract:

A Monte Carlo system and method are presented for the pricing of financial instruments such as derivative securities. A path-integral approach is described that relies upon the probability distribution of the complete histories of an underlying security. A Metropolis algorithm is used to generate samples of a probability distribution of the paths (histories) of the security. Complete information on the derivative security is obtained in a single simulation, including parameter sensitivities. Multiple values of parameters are also obtained in a single simulation. The method is applied in a plurality of systems, including a parallel computing environment and an online real-time valuation service. The method and system also have the capability of evaluating American options using Monte Carlo methods.