Method and system for generating and trading derivative investment instruments based on a volatility arbitrage benchmark index
US8140425B2 · kind B2 · utility
4Cited by
86References
3Claims
0Family size
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Key dates
| Filing date | Oct 19, 2007 |
| Grant date | Mar 20, 2012 |
| Priority date | — |
| Expiry date | Dec 4, 2029 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/06
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
A system and method for creating a volatility arbitrage bench mark index is disclosed. The method includes obtaining closing prices of an underlying instrument, such as a derivative investment instrument, and calculating a value representing a volatility arbitrage benchmark. The value may be displayed at a trading facility and volatility arbitrage benchmark quotes may be transmitted by the trading facility to a market participant.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.