08600864 is referenced by 1 patents and cites 43 patents.

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.

Title
Scanning based spreads using a hedge ratio non-linear optimization model
Application Number
13/526253
Publication Number
8600864 (B2)
Application Date
June 18, 2012
Publication Date
December 3, 2013
Inventor
Dmitriy Glinberg
Northbrook
IL, US
Ketan Patel
Hanover Park
IL, US
Amy Stephan
Chicago
IL, US
Muhammed Hadi
Chicago
IL, US
Agent
Lempia Summerfield Katz
Assignee
Chicago Mercantile Exchange
IL, US
IPC
G06Q 40/00
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