| 摘要 |
Collateralized option index derivative investment instruments and methods for creating a collateralized option index are disclosed herein based on changes in a performance of collateralized option strategies. According to an aspect of the disclosure, a method for calculating a collateralized option index is disclosed. In one embodiment, the method for calculating a collateralized option index includes calculating a value of a portfolio invested in a collateralized short strategy according to the relation: <?in-line-formulae description="In-line Formulae" end="lead"?>V<SUB>t</SUB>=M<SUB>t</SUB>-N<SUB>last</SUB>P<SUB>t </SUB><?in-line-formulae description="In-line Formulae" end="tail"?> where M<SUB>t </SUB>is a value of a LIBOR component of the portfolio at the close of date t, N<SUB>last </SUB>is a number of put options sold at a last roll date, and P<SUB>t </SUB>is a price of the underlying option portfolio based on arithmetic averages of the last bid and ask prices of all options in the underlying option portfolio reported before a time on date t.
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