Data processing: financial – business practice – management – or co – Automated electrical financial or business practice or... – Finance
Reexamination Certificate
2001-02-28
2011-10-11
Felten, Daniel S (Department: 3693)
Data processing: financial, business practice, management, or co
Automated electrical financial or business practice or...
Finance
C037S003000
Reexamination Certificate
active
08036969
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.
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Chadbourne & Parke LLP
Felten Daniel S
Goldman Sachs & Co.
Squires John A.
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