Patent ID: 7386500

Claim:
A computer-based method for determining a value of a customized indexed call option, comprising: a) selecting, using a processor in at least one specially programmed computer, a range from the group consisting of a range between a first lattice node with an index value no greater than an index value for said customized indexed call option and a second lattice node with an index value at least equal to said index value for said customized indexed call option, and a range between a first epoch with a time no greater than a time to expiry for said customized indexed call option and a second epoch with a time at least equal to said time to expiry, wherein the first lattice node, the second lattice node, the first epoch, and the second epoch are stored in a memory element for the at least one computer; b) searching, using the processor, a lattice data structure, stored in the memory element, by applying said range from said group to said lattice data structure to identify at least one value in the lattice data structure included in said range, the at least one value comprising at least one intermediate value of said customized indexed call option; c) interpolating, using the processor, in said at least one intermediate value of said customized indexed call option based on a set of predetermined parameters of the customized indexed call option, stored in the memory element, to find said value; and, d) presenting, on a graphical user interface for the at least one computer, an option for a holder of the customized indexed call option to switch between said index and said constant growth rate at predefined intervals during a term for said customized indexed call option, wherein said customized indexed call option comprises a term and an index linkage to an index and a constant growth rate.