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.
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申请公布号 |
US8538849(B2) |
申请公布日期 |
2013.09.17 |
申请号 |
US201113190655 |
申请日期 |
2011.07.26 |
申请人 |
SCHMANSKE MICHAEL;DESHPANDE MANEESH;BHATIA ROHIT;DING YIDONG;KHANDELWAL PANKAJ;BARCLAYS CAPITAL INC. |
发明人 |
SCHMANSKE MICHAEL;DESHPANDE MANEESH;BHATIA ROHIT;DING YIDONG;KHANDELWAL PANKAJ |
分类号 |
G06Q40/00 |
主分类号 |
G06Q40/00 |
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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