Weather derivative volatility surface estimation

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United States of America Patent

PATENT NO 8538851
APP PUB NO 20130031027A1
SERIAL NO

13591413

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Abstract

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Systems and methods are provided for determining the volatility of weather derivative option contracts. Volatility levels are initially determined with conventional methods. Unreliable volatility levels are then replaced with futures contracts volatility levels. If the futures contracts volatility levels are not available or appear unreliable, meteorological volatility levels are utilized. The data may be reduced to a three dimensional surface and used when determining margin account requirements.

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Patent Owner(s)

  • CHICAGO MERCANTILE EXCHANGE INC.

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Inventor(s)

Inventor Name Address # of filed Patents Total Citations
Hadi, Muhammed Chicago, US 14 151
Patel, Ketan Hanover Park, US 53 395

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