Basket Option Hedging Method
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United States of America Patent
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app pub date -
Apr 21, 2014
filing date -
Feb 28, 2001
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Abandoned
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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.
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