Method and system for creating and trading derivative investment products based on a statistical property reflecting the variance of an underlying asset
US8326716B2 · kind B2 · utility
Assignees
Inventors
Key dates
| Filing date | Oct 10, 2006 |
| Grant date | Dec 4, 2012 |
| Priority date | — |
| Expiry date | Oct 27, 2026 |
Classification
- Technology area (CPC G)Physics
- CPC primaryG06Q40/00
- WIPO fieldIT methods for management
- WIPO sectorElectrical engineering
Abstract
Systems and methods for creating a limited risk derivative based on a realized variance of an underlying equity is disclosed. In one implementation, a limited risk derivative product includes a capped value for a statistical property reflecting a variance of the underlying equity is calculated based on a pari-mutuel action. The capped value includes a dynamic value and a cap. The dynamic value reflects an average volatility of prices returns of the underlying equity over a predefined period of time and the cap reflects a maximum value of the dynamic value. The limited risk derivative product additionally includes an average of a summation of each squared daily return of the underlying equity included in the value for the statistical property reflecting the variance of the underlying equity.
Source: USPTO / EPO open patent data. Objective bibliographic and citation counts.