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Method and system for generating and trading derivative investment instruments based on a volatility arbitrage benchmark index

  • US 8,140,425 B2
  • Filed: 10/19/2007
  • Issued: 03/20/2012
  • Est. Priority Date: 11/13/2006
  • Status: Active Grant
First Claim
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1. A system for creating and trading derivatives based on a volatility arbitrage benchmark of an underlying asset, comprising:

  • a volatility arbitrage benchmark index module comprising a first processor, a first memory coupled with the first processor, and a first communications interface coupled with a communications network, the first processor, and the first memory;

    a dissemination module coupled with the volatility arbitrage benchmark index module, the dissemination module comprising a second processor, a second memory coupled with the second processor, and a second communications interface coupled with the communications network, the second processor, and the second memory;

    a first set of logic, stored in the first memory and executable by the first processor to receive current values for an underlying asset of a volatility arbitrage benchmark derivative through the first communications interface, calculate a volatility arbitrage benchmark value for the underlying asset, pass the value for the calculated volatility arbitrage benchmark to the dissemination module, wherein the first set of logic is configured to cause the first processor to calculate the volatility arbitrage benchmark value according to a formula;

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