Patents by Inventor Timothy R. Klassen

Timothy R. Klassen has filed for patents to protect the following inventions. This listing includes patent applications that are pending as well as patents that have already been granted by the United States Patent and Trademark Office (USPTO).

  • VOLATILITY INDEX AND DERIVATIVE CONTRACTS BASED THEREON
    Publication number: 20150039532
    Abstract: An improved volatility index and related futures contracts are provided. An index in accordance with the principals of the present invention estimates expected volatility from the prices of stock index options in a wide range of strike prices, not just at-the-money strikes. Also, an index in accordance with the principals of the present invention is not calculated from the Black/Scholes or any other option pricing model: the index of the present invention uses a newly developed formula to derive expected volatility by averaging the weighted prices of out-of-the money put and call options. In accordance with another aspect of the present invention, derivative contracts such as futures and options based on the volatility index of the present invention are provided.
    Type: Application
    Filed: March 10, 2014
    Publication date: February 5, 2015
    Applicant: Chicago Board Options Exchange, Incorporated
    Inventors: William M. Speth, Joseph Levin, Sandy Rattray, Devesh Shah, Timothy R. Klassen