Patent ID: 6879974

Claim:
A numerical stochastic integration system implemented on a computer for calculating stochastic integration of a stochastic process, said computer comprising: means for using an arrival probability of a node to build a multinomial tree structure representing the stochastic process, the multinominal tree structure being stored in a memory of the computer as a recombining tree describing a discrete model of the stochastic process, wherein said means for using an arrival probability of a node includes: means for storing a constant C (0<C<1) in said memory; an arrival probability calculator for calculating an arrival probability of a node before creating said node; and means for inhibiting creation of said node when said node is an end node and said arrival probability is smaller than said constant C, wherein said means for inhibiting creation of said end node includes: means for, when said inhibited end node is an upper end node, adding said arrival probability of said end node to an arrival probability of a node immediately under said end node; and means for, when said inhibited end node is a lower end node, adding said arrival probability of said end node to an arrival probability of a node immediately above said end node.