Vt=Mt−NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt 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."/>
Method and system for creating and trading derivative investment instruments based on an index of collateralized options
首页>
外国专利>
Method and system for creating and trading derivative investment instruments based on an index of collateralized options
Method and system for creating and trading derivative investment instruments based on an index of collateralized options
展开▼
机译：基于抵押期权指数创建和交易衍生投资工具的方法和系统
展开▼
页面导航
摘要
著录项
相似文献
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:Vt=Mt−NlastPt where Mt is a value of a LIBOR component of the portfolio at the close of date t, Nlast is a number of put options sold at a last roll date, and Pt 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.
展开▼
机译：基于抵押期权策略的性能变化，本文公开了抵押期权指数衍生品投资工具和用于创建抵押期权指数的方法。根据本公开的一方面，公开了一种用于计算抵押期权指数的方法。在一个实施例中，用于计算抵押期权指数的方法包括根据以下关系式计算投资在抵押短期策略中的投资组合的价值：<？in-line-formulae description =“在线公式” end =“ lead”？> V t = M t -N 最后 P t <？in-line-formulae description =“ In- line Formulae“ end =” tail“？>其中M t 是投资组合在日期t结束时LIBOR成分的值，N last 是在最后交易日出售的看跌期权的数量，以及P t 是基础期权投资组合的价格，基于日期t之前报告的基础期权投资组合中所有买入和卖出价格的算术平均值。
展开▼
