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METHOD FOR EXCHANGING OPTION CONTRACTS USING A CENTRAL COUNTERPARTY
METHOD FOR EXCHANGING OPTION CONTRACTS USING A CENTRAL COUNTERPARTY
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机译:使用中央对等权交换期权合约的方法
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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.
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