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Principal retention options strategy computer support and method

  • US 20050234797A1
  • Filed: 04/15/2005
  • Published: 10/20/2005
  • Est. Priority Date: 04/16/2004
  • Status: Abandoned Application
First Claim
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1. A computer-aided method of constructing a principal-protected investment indexed to a reference portfolio, the method including the steps of:

  • entering into a computer a desired principal-protected amount, terms defining a reference portfolio call option indexed to performance of the reference portfolio, terms defining an index call option indexed to an underlying that is not being substantially similar to the reference portfolio, and terms defining an index put option indexed to the underlying; and

    controlling said computer with a program to use said principal-protected amount and said terms to generate output including a combined cost of the three options substantially equal to the principal-protected amount, a combined expected payoff at expiration of the index call option and the index put option equal to the cost of the three options and a payoff at expiration of the reference portfolio call option substantially equal to increased value of the reference portfolio.

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