LOCALLY OPTIMUM TRADING POSITIONS FOR PATH-DEPENDENT OPTIONS
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United States of America Patent
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Issued Date -
Sep 10, 2015
app pub date -
Mar 4, 2014
filing date -
Mar 4, 2014
priority date (Note) -
Abandoned
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Abstract
A trading position evaluation system for evaluating trading positions that are locally optimum for a path-dependent European Contingent Claims (ECC) includes an option price determination module to determine a scaled option price and a shifted scaled option price of the path-dependent ECC based on ECC data and market data, retrieved from a database. The scaled option price and the shifted scaled option price are determined at a trading time instance, selected from amongst a plurality of trading time instances obtained from a trader, based on at least one discrete-monitoring time instance occurring before the trading time instance. Based on the scaled option price and the shifted scaled option price, a position evaluation module evaluates a trading position in an underlying asset of the path-dependent ECC at the trading time instance that minimizes local variance of profit and loss to the trader.
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