发明申请
- 专利标题： SCANNING BASED SPREADS USING A HEDGE RATIO NON-LINEAR OPTIMIZATION MODEL
- 专利标题（中）： 基于扫描比例的非线性优化模型
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申请号： US12056465申请日： 2008-03-27
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公开(公告)号： US20090248588A1公开(公告)日： 2009-10-01
- 发明人: Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- 申请人： Muhammed Hadi , Amy Stephen , Ketan Patel , Dmitriy Glinberg
- 主分类号： G06Q40/00
- IPC分类号： G06Q40/00
摘要：
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.
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