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Volatility derivative financial product

  • US 7,620,578 B1
  • Filed: 05/01/2006
  • Issued: 11/17/2009
  • Est. Priority Date: 05/01/2006
  • Status: Active Grant
First Claim
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1. A computer implemented method of calculating a position reflecting an investment in volatility of at least one underlying asset, the method comprising:

  • selecting at least one underlying asset;

    receiving, from an investor and over a computer network, a payment and an initial investment date;

    adjusting, by a programmed computer, an electronically stored record of the position periodically to represent a sale of at least one put option for the at least one underlying asset and a sale of at least one call option for the at least one underlying asset;

    determining, periodically and by a programmed computer, a delta associated with the position;

    adjusting, periodically and by a programmed computer, the electronically stored record of the position to represent offsetting the delta;

    adjusting, by a programmed computer, the electronically stored record of the position periodically to represent repurchasing and reselling the at least one put option for the at least one underlying asset and repurchasing and reselling the at least one call option for the at least one underlying asset;

    calculating, by a programmed computer, a return on the payment, the return comprising a function of the position on the initial investment date, the position on the end date, and the payment; and

    settling a balance based on the return.

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