Patent ID: 8352348

Claim:
A method comprising by machine, performing computations to determine a cumulative probability distribution function (cdf) for a price of an asset at a future time (T) based on prices of options on the asset, the options being at two or more strike prices x for the asset, the computations including: determining a cumulative-distribution-function-implied volatility (CDF-implied volatility) of the asset as a function of the prices of the options by estimating a finite set of cdf values based on the prices of the options, and for each of the estimated cdf values in the finite set, determining, as the CDF-implied volatility, a statistical measure for which probability of exercise of an option, as determined by an option pricing model, agrees with the estimated cdf value, for the time T and for an interpolated strike price corresponding to the estimated cdf value, given a current price of the asset, the determined CDF-implied volatilities representing an estimated curve of CDF-implied volatility as a function of the prices of options at the strike prices x.