Invention Grant
- Patent Title: Basket option hedging method
- Patent Title (中): 篮子选项对冲方法
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Application No.: US13230618Application Date: 2011-09-12
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Publication No.: US08706598B2Publication Date: 2014-04-22
- Inventor: Mark Higgins
- Applicant: Mark Higgins
- Applicant Address: US NY New York
- Assignee: Goldman, Sachs & Co.
- Current Assignee: Goldman, Sachs & Co.
- Current Assignee Address: US NY New York
- Agency: Perkins Coie LLP
- Main IPC: G06Q40/00
- IPC: G06Q40/00 ; G06Q40/06
Abstract:
A method and system for hedging a correlation risk associated with a basket option 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 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.
Public/Granted literature
- US20120197817A1 Basket Option Hedging Method Public/Granted day:2012-08-02
Information query
