首页>
外国专利>
OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS
OPTION PRICING MODEL FOR EVENT DRIVEN CALL AND PUT OPTIONS
展开▼
机译:事件驱动的看涨期权和看跌期权的期权定价模型
展开▼
页面导航
摘要
著录项
相似文献
摘要
Systems and methods are provided for valuing event driven option contracts. A jump diffusion based model, such as a Merton jump diffusion based model, is modified to assume arithmetic movement of an underlying price and a single jump. The arithmetic movement of the underlying price may be modeled with a Bachelier based arithmetic model. Calculated values may be used to determine margin account requirements.
展开▼