Invention Grant
US07991671B2 Scanning based spreads using a hedge ratio non-linear optimization model
有权
使用套期保值比非线性优化模型进行基于扫描的差价
- Patent Title: Scanning based spreads using a hedge ratio non-linear optimization model
- Patent Title (中): 使用套期保值比非线性优化模型进行基于扫描的差价
-
Application No.: US12056465Application Date: 2008-03-27
-
Publication No.: US07991671B2Publication Date: 2011-08-02
- Inventor: Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- Applicant: Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- Applicant Address: US IL Chicago
- Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee: Chicago Mercantile Exchange Inc.
- Current Assignee Address: US IL Chicago
- Agency: Lempia Summerfield Katz LLC
- Main IPC: G06Q40/00
- IPC: G06Q40/00
Abstract:
The disclosed embodiments utilize hedge ratios to determine the optimal hedge ratio and associated scanning spread. This tells traders what ratios of the quantities of products they should have in their portfolio in order to maintain the status of the portfolios as delta neutral, i.e. be delta hedged, and receive optimal margin credits therefore.
Public/Granted literature
- US20090248588A1 SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL Public/Granted day:2009-10-01
Information query
