Systems and methods for valuing a derivative involving a multiplicative index

US7925560B2 · kind B2 · utility

Assignee

• MORGAN STANLEY · US

Inventors

• Vasily Strela · New York, US
• Matthew Grayson · Evanston, US

Key dates

• Filing date: Dec 7, 2005
• Grant date: Apr 12, 2011
• Expiry date: Oct 10, 2027

Classification

• Technology area (CPC G): Physics
• CPC primary: G06Q40/06
• WIPO field: IT methods for management
• WIPO sector: Electrical engineering

Abstract

Methods for calculating a value of a derivative based on a multiplicative index, where the multiplicative index is a multiple of an underlying index. The methods may comprise the steps of providing a first value of the underlying index and estimating a ratio of the multiplicative index over the underlying index as a first function of the underlying index over a first range of values of the underlying index. The method may also comprise the steps of calculating at least one parameter of the first function by comparing the first function to historical values of the multiplicative index and the underlying index. In addition, the method may comprise the steps of calculating a first value for the ratio given the first value of the underlying index, and calculating the value of the derivative for the first value of the ratio.