发明名称 |
Method of creating and trading derivative investment products based on a volume weighted average price of an underlying asset |
摘要 |
A method of creating and trading derivative contracts based on a volume weighted average price ("VWAP") of an underlying asset is disclosed. Typically, an underlying asset is chosen to be a base of a VWAP derivative and a processor calculates a VWAP reflecting an average trading price of an underlying asset during a calculation period that is weighted according to the proportion of a total volume of underlying assets traded at each traded price. A trading facility display device coupled to a trading platform then displays VWAP derivatives and the trading facility transmits VWAP derivative quotes from liquidity providers over at least one dissemination network.
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申请公布号 |
US2006253367(A1) |
申请公布日期 |
2006.11.09 |
申请号 |
US20050122509 |
申请日期 |
2005.05.04 |
申请人 |
CHICAGO BOARD OPTIONS EXCHANGE |
发明人 |
O'CALLAHAN DENNIS M.;SHALEN CATHERINE T. |
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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