DERIVATIVES TRADING METHODS THAT USE A VARIABLE ORDER PRICE
摘要
Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.
申请公布号
CA2518623(A1)
申请公布日期
2004.09.23
申请号
CA20042518623
申请日期
2004.03.08
申请人
CHICAGO MERCANTILE EXCANGE, INC.
发明人
FARRELL, JAMES W.;SALVADORI, DAVID;THIRUTHUVADOSS, AGNES S.;ARIATHURAI, ARJUNA;JOHNSTON, SCOTT;FALCK, JOHN;TROXEL, CHARLIE, JR.