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WO2006116080A2 - Contrats financiers et indicateurs boursiers bases sur de tels contrats financiers - Google Patents

Contrats financiers et indicateurs boursiers bases sur de tels contrats financiers Download PDF

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Publication number
WO2006116080A2
WO2006116080A2 PCT/US2006/015086 US2006015086W WO2006116080A2 WO 2006116080 A2 WO2006116080 A2 WO 2006116080A2 US 2006015086 W US2006015086 W US 2006015086W WO 2006116080 A2 WO2006116080 A2 WO 2006116080A2
Authority
WO
WIPO (PCT)
Prior art keywords
contract
asset
lifetime
financial
value
Prior art date
Application number
PCT/US2006/015086
Other languages
English (en)
Other versions
WO2006116080A3 (fr
Inventor
Jan Vecer
Original Assignee
The Trustees Of Columbia University In The City Of New York
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Priority claimed from US11/321,030 external-priority patent/US20060265299A1/en
Priority claimed from US11/339,936 external-priority patent/US20060265300A1/en
Application filed by The Trustees Of Columbia University In The City Of New York filed Critical The Trustees Of Columbia University In The City Of New York
Publication of WO2006116080A2 publication Critical patent/WO2006116080A2/fr
Publication of WO2006116080A3 publication Critical patent/WO2006116080A3/fr

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis

Definitions

  • crash option can define the market crash in terms of a relative change in value, i.e., a percentage change.
  • This type of a crash option will hereinafter be called a "relative value crash option.”
  • the relative value crash option can be determined as the first time the stock price drops by percentage a * from its running maximum, and can be represented by
  • crash option can define the market crash in terms of a relative value maximum drawdown.
  • This type of crash option will hereinafter be called a "relative value maximum drawdown crash option.”
  • the relative value maximum drawdown R t can be defined as the largest relative drop of the asset with respect to its running maximum up to time t :
  • the option can be sold to an investor, and the predetermined payoff amount can be paid to the investor in the event of a market crash. Otherwise, if a market crash does not occur before the relative value maximum drawdown crash option matures, the option expires as worthless.
  • range option can define a range event as an absolute value maximum range.
  • This type of range option will hereinafter be called an "absolute value maximum range option.”
  • the absolute value maximum range RNG t can be defined as the largest absolute difference between the minimum and maximum of the asset price up to time t:
  • the option can be sold to an investor, and the predetermined payoff amount can be paid to the investor in the event of a range event. Otherwise, if a range event does not occur before the absolute value maximum range option matures, the option expires as worthless.
  • an investor may alternatively choose to invest in an actively traded portfolio with the intention to replicate or mimic the payoff of the absolute value maximum range option. In this case, a financial institution can set up a portfolio using the hedge of the absolute value maximum range option.
  • the financial contract can be sold to an investor, and the predetermined payoff amount can be paid to the investor if certain conditions specified in the financial contract are met during the lifetime of the contract.
  • the financial contract can be sold to an investor, and the predetermined payoff amount can be paid to the investor if certain conditions specified in the financial contract are met during the lifetime of the contract.
  • the price of financial contracts using the absolute value maximum drawup or the average of the absolute value maximum drawup may be used as a measure of risk or as an index of an asset.
  • the price of the absolute value maximum drawup rally option may be used as a rally index.
  • the financial contract can be sold to an investor, and the predetermined payoff amount can be paid to the investor if certain conditions specified in the financial contract are met during the lifetime of the contract.

Landscapes

  • Engineering & Computer Science (AREA)
  • Business, Economics & Management (AREA)
  • Finance (AREA)
  • Accounting & Taxation (AREA)
  • Development Economics (AREA)
  • Operations Research (AREA)
  • Game Theory and Decision Science (AREA)
  • Human Resources & Organizations (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne des produits et des procédés pour fournir un ou plusieurs contrats financiers à des investisseurs, d'après des valeurs de recul, de progression et/ou d'étendue. Certains modes de réalisation de l'invention permettent à des investisseurs de protéger leurs actifs sous-jacents contre des fluctuations imprévues du marché, telles qu'un krach boursier, une reprise boursière et/ou un événement d'étendue, à l'aide d'une ou de plusieurs des valeurs de recul, de progression et/ou d'étendue.
PCT/US2006/015086 2005-04-22 2006-04-21 Contrats financiers et indicateurs boursiers bases sur de tels contrats financiers WO2006116080A2 (fr)

Applications Claiming Priority (8)

Application Number Priority Date Filing Date Title
US67423705P 2005-04-22 2005-04-22
US60/674,237 2005-04-22
US68678205P 2005-06-02 2005-06-02
US60/686,782 2005-06-02
US11/321,030 2005-12-29
US11/321,030 US20060265299A1 (en) 2005-04-22 2005-12-29 Financial contracts and market indicators based on such financial contracts
US11/339,936 US20060265300A1 (en) 2005-04-22 2006-01-25 Financial contracts and market indicators based on such financial contracts
US11/339,936 2006-01-25

Publications (2)

Publication Number Publication Date
WO2006116080A2 true WO2006116080A2 (fr) 2006-11-02
WO2006116080A3 WO2006116080A3 (fr) 2009-04-16

Family

ID=37215299

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2006/015086 WO2006116080A2 (fr) 2005-04-22 2006-04-21 Contrats financiers et indicateurs boursiers bases sur de tels contrats financiers

Country Status (1)

Country Link
WO (1) WO2006116080A2 (fr)

Family Cites Families (2)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
AU2003217737A1 (en) * 2002-01-25 2003-12-12 Bdellium Inc. Method of analyzing investments using overlapping periods
US7395235B2 (en) * 2002-06-13 2008-07-01 Centre For Development Of Advanced Computing Strategy independent optimization of multi objective functions

Also Published As

Publication number Publication date
WO2006116080A3 (fr) 2009-04-16

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