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METHOD FOR EXCHANGING OPTION CONTRACTS USING A CENTRAL COUNTERPARTY

机译:使用中央对等权交换期权合约的方法

摘要

A method of contracting between two counterparties with a central counterparty for the exchange of payments based upon pairs of contracts. The payouts are based on the output of a pricing model in which the model output is calculated periodically, and the payments are exchanged periodically through transfers by the central counterparty. The period of calculation and payment occurs each business day. The model is driven by (i) an index indicating the price of a commodity; (ii) the volatility of the index; (iii) a nominal strike price; (iv) time to expiration; and (v) risk free interest rate, and (vi) other variables.
机译:一种在两个交易对手之间与中央交易对手之间订立合同的方法,用于根据合同对交换付款。支付基于定价模型的输出,在该定价模型中,定期计算模型的输出,并通过中央交易对手的转移来定期交换付款。计算和付款期在每个工作日发生。该模型由(i)指示商品价格的索引驱动; (ii)指数的波动性; (iii)名义行使价; (iv)到期时间; (v)无风险利率,以及(vi)其他变量。

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