发明名称 |
Volatility index and derivative contracts based thereon |
摘要 |
An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.
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申请公布号 |
US2005102214(A1) |
申请公布日期 |
2005.05.12 |
申请号 |
US20040959528 |
申请日期 |
2004.10.06 |
申请人 |
CHICAGO BOARD OPTIONS EXCHANGE |
发明人 |
SPETH WILLIAM;LEVIN JOSEPH;RATTRAY SANDY;SHAH DEVESH |
分类号 |
G06Q40/00;(IPC1-7):G06F17/60 |
主分类号 |
G06Q40/00 |
代理机构 |
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地址 |
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