System and method for calculating a volatility carry metric

Systems and methods of generating metrics for volatility products are disclosed. According to various embodiments, the metric may use a carry of the volatility product and a volatility of the implied volatility to determine the metric. Through the metric, or carry quotient, global interest rate vola...

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Bibliographische Detailangaben

Hauptverfasser:	Caron, James A, McGraw, William J, Stipanov, Jason D
Format:	Patent
Sprache:	eng
Online-Zugang:	Volltext bestellen
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