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Method and system for creating and trading derivative investment instruments based on an index of collateralized options

  • US 8,341,069 B2
  • Filed: 05/23/2011
  • Issued: 12/25/2012
  • Est. Priority Date: 01/30/2007
  • Status: Active Grant
First Claim
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1. A method for calculating a collateralized option index, the method comprising:

  • calculating, by a computer system having a processor, a value (Vt) of a portfolio invested in a collateralized short strategy according to a relation;


    Vt=Mt−

    N
    last Pt wherein Mt is a value of a money market component of the portfolio at a close of date t, Nlast is a number of put options sold at a last roll date, and Pt is a price of an underlying option portfolio based on arithmetic averages of last bid and ask prices of all options in the underlying option portfolio reported before a time on date t; and

    transmitting, by the computer system, the value of the portfolio in the collateralized short strategy to market participants over a communication network.

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