Derivatives trading methods that use a variable order price

Details Derivatives trading methods that use a variable order price Derivatives trading methods that use a variable order price

G - Physics

06

Q

G06Q 30/00 (2006.01)

Patent

CA 2518623

Methods and systems for an exchange to handle variable derivative product order prices are disclosed. The price of a derivative product order (bid or offer) is updated based on changes in the price of a related underlying product. Price determination variable(s), such as delta and gamma, are used to determine the price of the order. The exchange may periodically recalculate the price without requiring the trader to transmit additional information to the exchange.

L'invention concerne des techniques et des systèmes de gestion boursière de valeurs d'ordres de produits dérivés variables. La valeur de l'ordre d'un produit dérivé (offre d'achat ou offre) est mise à jour à partir des changements de valeur d'un sous-produit associé. Les variables de détermination de valeur, telles que delta et gamma, sont utilisées pour déterminer la valeur de l'ordre. L'entité boursière peut périodiquement recalculer le prix sans que le négociateur doive nécessairement transmettre des informations supplémentaires à ladite entité.

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