Basket option hedging method

Details Basket option hedging method Basket option hedging method

G - Physics

06

F

G06F 17/60 (2000.01)

Patent

CA 2439289

A method and system for hedging a correlation risk associated with a basket option (103) that includes a plurality of securities that includes the step of selecting at least two of the plurality of securities and, in the next step, forming a best-of option (104) for the at least two of the plurality of securities. Finally, the best-of option is combined with the basket option to hedge the correlation risk associated with the basket option (105).

La présente invention concerne un procédé et un système pour couvrir un risque de corrélation associé à une option sur panier comprenant plusieurs sécurités. Ce procédé consiste à sélectionner au moins deux des sécurités, puis à constituer une option meilleur rendement pour lesdites sécurités. L'option meilleur rendement est finalement combinée à l'option sur panier, afin de couvrir le risque de corrélation associé à l'option sur panier.

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