Patents by Inventor Paul Glasserman

Paul Glasserman has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • Pricing of options using importance sampling and stratification/ Quasi-Monte Carlo
    Patent number: 6381586
    Abstract: A computer implemented method prices derivative securities (for example, options) by selecting an importance sampling (IS) distribution and combining the chosen IS distribution with stratified sampling. The process consists of the steps of choosing an importance sampling distribution and combining the chosen importance sampling with stratification or Quasi-Monte Carlo (QMC) simulation. In the first step, an importance sampling distribution is chosen. In the second step, the chosen importance sampling is combined with stratification or Quasi-Monte Carlo sequencing. The pricing of many types of securities reduces to one of estimating an expectation of a real-valued function of some random variables.
    Type: Grant
    Filed: December 10, 1998
    Date of Patent: April 30, 2002
    Assignee: International Business Machines Corporation
    Inventors: Paul Glasserman, Philip Heidelberger, Nayyar P. Shahabuddin