Patents Assigned to Optionmetrics LLC
  • Method of determining implied volatility for American options
    Patent number: 8032440
    Abstract: A new computer-implemented method for determination of a financial index, namely, implied volatility for American options. The method involves the division of the period until option expiration into a series of sub-periods, and calculation of a node vega, the node vega being the exact derivative of the option price with respect to the volatility at the end of at least one of said subperiods.
    Type: Grant
    Filed: October 30, 2003
    Date of Patent: October 4, 2011
    Assignee: Optionmetrics LLC
    Inventor: David Hait