Patent ID: 8538851
Filing Date: 2013-09-17
Classification: G06Q

Abstract:
1. A method of determining a volatility for a group of weather derivative products; the method comprising: (a) determining at a processor volatility levels for weather derivative option contracts having a range of strike prices and a range of times to maturity using an option volatility model; (b) identifying at the processor any of the weather derivative option contract volatility levels that deviate from adjoining volatility levels corresponding to weather derivative option contracts by a predetermined threshold; (c) replacing the volatility levels identified in (b) with weather derivative futures contracts volatility levels for corresponding futures contracts if corresponding futures contracts are available and the replaced volatility levels will not exceed adjoining volatility levels by the predetermined threshold or meteorological volatility levels if corresponding futures contracts are not available or the replaced volatility levels will exceed adjoining volatility levels by the predetermined threshold; and (d) displaying an implied volatility surface.