Scanning based spreads using a hedge ratio non-linear...

Details Scanning based spreads using a hedge ratio non-linear... Scanning based spreads using a hedge ratio non-linear...

G - Physics

06

Q

G06Q 40/06 (2012.01)

Patent

CA 2718554

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.

Les modes de réalisation de linvention se servent des ratios de couverture pour déterminer le ratio de couverture optimal ainsi que lécart danalyse associé. Ainsi, les opérateurs en bourse peuvent savoir quels ratios respecter dans les quantités de produits quils ont dans leur portefeuille pour que leur portefeuille reste delta neutre, autrement dit couvert en delta neutre, et donc recevoir les meilleures primes sur marge possibles.

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