发明名称 |
METHODS AND SYSTEMS REGARDING VOLATILITY RISK PREMIUM INDEX |
摘要 |
An exemplary aspect comprises receiving data related to an underlying asset; calculating values corresponding to near-term implied volatility and realized volatility for the underlying asset; and transmitting data sufficient to describe an index based on a difference between the values corresponding to the near-term implied volatility and the realized volatility for the underlying asset. Another exemplary aspect comprises receiving electronic data related to an underlying asset; calculating data sufficient to describe a plurality of call options and a plurality of put options related to the underlying asset and written on a first settlement date; crediting an account with proceeds from selling the call and put options; and debiting the account to settle one or more of the options that are in-the-money on a second settlement date. Other aspects are apparent from the description and claims. |
申请公布号 |
US2014058919(A1) |
申请公布日期 |
2014.02.27 |
申请号 |
US201314027652 |
申请日期 |
2013.09.16 |
申请人 |
BARCLAYS CAPITAL INC. |
发明人 |
SCHMANSKE MICHAEL;DESHPANDE MANEESH;BHATIA ROHIT;DING YIDONG;KHANDELWAL PANKAJ |
分类号 |
G06Q40/04 |
主分类号 |
G06Q40/04 |
代理机构 |
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代理人 |
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主权项 |
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地址 |
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