Basket option hedging method
AssigneeGoldman, Sachs & Co.
InventorMark Higgins
Life of this patent
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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.
Claims27
A method for hedging a correlation risk associated with a basket option, said basket option including a plurality of securities, the method comprising the steps of:
- selecting at least two of said plurality of securities;
- forming a best-of option for said at least two of said plurality of securities;
- and
- combining said best-of option with said basket option.
A method for hedging a correlation risk associated with purchasing a basket option, said basket option including a plurality of securities, the method comprising the step of:
- purchasing a best-of option comprising at least two of said plurality of securities.
A method for hedging a correlation risk associated with selling a basket option, said basket option including a plurality of securities, the method comprising the step of:
- selling a best-of option including at least two of said plurality of securities.
A method for managing risk associated with a portfolio of securities, comprising the steps of:
- forming a basket option for said portfolio of securities;
- hedging said portfolio of securities with said basket option;
- forming a best-of option for said plurality of securities;
- and
- hedging said basket option with said best-of option.
A computerized system for hedging a correlation risk associated with a basket option, said basket option including a plurality of securities, the system comprising:
- a computer server comprising a processor and a memory;
- and
- executable software stored on the memory and executable on demand, the software operative with the server to cause the system to:
- select at least two of said plurality of securities;
- form a best-of option for said at least two of said plurality of securities;
- and
- combine said best-of option with said basket option.
A computerized system for managing risk associated with a portfolio of securities, the system comprising:
- a computer server comprising a processor and a memory;
- and
- executable software stored on the memory and executable on demand, the software operative with the server to cause the system to:
- form a basket option for said portfolio of securities;
- hedge said portfolio of securities with said basket option;
- form a best-of option for said plurality of securities;
- and
- hedge said basket option with said best-of option.
Computer executable program code residing on a computer-readable medium, the program code comprising instructions for causing the computer to:
- select at least two of said plurality of securities;
- form a best-of option for said at least two of said plurality of securities;
- and
- combine said best-of option with said basket option.
A method of interacting with a network access device so as to hedge a correlation risk associated with a basket option, said basket option including a plurality of securities, the method comprising the steps of:
- initiating interaction with a server computer via a communications network;
- inputting information relating to formation of a basket option for said portfolio of securities;
- executing software to cause the server computer to hedge said portfolio of securities with said basket option;
- executing software to cause the server computer to form a best-of option for said plurality of securities;
- and
- executing software to cause the server computer to hedge said basket option with said best-of option.
Dependencies are inferred from the claim text.