The patent badge is an abbreviated version of the USPTO patent document. The patent badge does contain a link to the full patent document.
The patent badge is an abbreviated version of the USPTO patent document. The patent badge covers the following: Patent number, Date patent was issued, Date patent was filed, Title of the patent, Applicant, Inventor, Assignee, Attorney firm, Primary examiner, Assistant examiner, CPCs, and Abstract. The patent badge does contain a link to the full patent document (in Adobe Acrobat format, aka pdf). To download or print any patent click here.
Patent No.:
Date of Patent:
Dec. 10, 2013
Filed:
Nov. 30, 2012
Bank of America Corporation, Charlotte, NC (US);
Karen L. Chang, New York, NY (US);
Peter J. Williams, New York, NY (US);
Yonathan Epelbaum, Brooklyn, NY (US);
Vincent Ronsil, New York, NY (US);
Michael Ebert, New York, NY (US);
Edward Mok, Englewood Cliffs, NJ (US);
Chiyan Luo, Great Neck, NY (US);
Bank of America Corporation, Charlotte, NC (US);
Abstract
A system includes a memory and a processor communicatively coupled to the memory. The memory stores a correlation index that is based at least in part on a portfolio of index options, a plurality of stock options, and a plurality of deltas computed using a plurality of constant flat implied volatilities. The processor determines a value of the correlation index by selecting a plurality of strike prices for each of the index and stock options, computing a constant flat implied volatility for an index and a plurality of stocks on a first date, and computing the plurality of deltas using the plurality of constant flat implied volatilities.