Patent ID: 8326715

Claim:
A computer-implemented method of calculating and disseminating a value of an underlying asset associated with at least one variance derivative, the method comprising: calculating, with a processor, a value for a statistical property reflecting the variance of the underlying asset on a processor, the value for the statistical property having a value which reflects an average volatility of price returns of the underlying asset over a predefined time period, wherein calculating the value for the statistical property reflecting the variance of the underlying asset comprises calculating an average of a summation of each squared daily return of the underlying asset; displaying, with the processor, at least one variance derivative based on the statistical property reflecting variance on a trading facility display device coupled to a trading platform; transmitting, with the processor, at least one variance derivative quote of a liquidity provider from the trading facility to at least one market participant; and settling, with the processor, the at least one variance derivative based on a difference between a first cumulative realized variance and a strike price set at a fixed second cumulative realized variance, wherein the strike price is set at the fixed second cumulative realized variance when the variance derivative is created; wherein calculating the value for the statistical property reflecting the variance of the underlying asset comprises: calculating the value of the statistical property according to the formula: Variance = AF * ∑ i = 1 N a - 1 ⁢ R i 2 N e - 1 wherein: R i = ln ⁢ P i + 1 P i P i is an initial value of the underlying asset used to calculate a daily return, P i+1 is a final value of the underlying asset used to calculate the daily return, N e is a number of expected underlying asset values needed to calculate daily returns during a variance calculation period, N a is an actual number of underlying asset values used to calculate daily returns during the variance calculation period; and AF is an annualization factor.